Table 1 Descriptive Statistics for LIFFE Data Set Number of Observations: 10,231 |
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Mean |
Standard Deviation |
Skewness |
Kurtosis |
Minimum |
Maximum |
|
| R(t) | 5.113 |
0.916 |
-0.167 |
-1.154 |
3.340 |
6.710 |
| u * | 32.272 |
13.941 |
2.147 |
3.525 |
14.349 |
72.555 |
| s * | 20.397 |
2.622 |
-0.159 |
0.158 |
8.650 |
26.60 |
| t | 0.479 |
0.276 |
0.037 |
-1.212 |
0.008 |
0.981 |
| Maturity** | 174.796 |
100.622 |
0.037 |
-1.212 |
3 |
358 |
| K | 95.320 |
1.208 |
-0.177 |
-0.729 |
92.00 |
97.50 |
| C | 0.399 |
0.523 |
1.432 |
1.342 |
0.000 |
2.410 |
| P | 0.833 |
0.826 |
0.920 |
-0.131 |
0.000 |
3.300 |
| * Volatility is stated as a percent. (20.39 = .2039) * *Maturity is stated in number of days. R(t) is the futures rate and is calculated as 100 - f(t) where f(t) is the futures price. s is the implied volatility as computed by Black’s (1976) futures option pricing model while u is the annualized standard deviation of the underlying futures rate. t is the option’s maturity stated as a fraction of a year and K is the options strike (exercise) price. C and P are the reported call and put option prices respectively. |
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