Financial Innovation

Table 1 Characteristics of index options daily return

From: Intelligent option portfolio model with perspective of shadow price and risk-free profit

Conf Int		99%	95%		90%
Option	Mean	LB	UB	LB	UB	LB	UB
50ETF option	0.0022	− 0.0034	0.0079	− 0.0021	0.0065	− 0.0014	0.0058
300ETF option	− 0.0017	− 0.0069	0.0036	− 0.0057	0.0024	− 0.0050	0.0017

This table displays confidence intervals for the time series of realized option returns with the confidence interval in 99%, 95% and 90%

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