sp500.2013.06.24


  This dataset contains S&P 500 options with 53 days to expiration at the end of the business day June 24, 2013.
  On June 24, 2013, S&P 500 closed at 1573.09.


S&P 500

This package is a collection of various functions to extract the implied risk neutral density from option.

Kam Hamidieh

Risk Neutral Density Extraction Package

sp500.2013.06.24 function

A data frame with 173 observations on the following 9 variables.
  <dl>
    <dt><code>bid.c</code></dt><dd>call bid price</dd> <dt><code>ask.c</code></dt><dd>call ask price</dd> <dt><code>vol.c</code></dt><dd>call volume</dd> <dt><code>openint.c</code></dt><dd>call open interest</dd> <dt><code>strike</code></dt><dd>option strike</dd> <dt><code>bid.p</code></dt><dd>put bid price</dd> <dt><code>ask.p</code></dt><dd>put ask price</dd> <dt><code>vol.p</code></dt><dd>put volume</dd> <dt><code>openint.p</code></dt><dd>put open interest</dd> </dl> 

Format

http://www.cboe.com/DelayedQuote/QuoteTableDownload.aspx

sp500.2013.06.24: S&P 500 Index Options on 2013-06-24

Description

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Examples