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

Financial Innovation

Table 5 Summary statistics of option variables

	Vol	Err	IV	EL	Delta	Gamma	Vega	Theta	Rho
Mean	0.0691	0.0697	0.2567	− 0.1386	− 0.1502	− 0.6070	− 0.0784	0.1337	− 0.0441
Median	0.0561	0.0747	0.2625	− 0.6038	− 0.7318	− 0.4884	− 0.0618	0.1044	− 0.1532
Std	0.0420	0.0434	0.2188	0.8345	0.9062	1.3628	0.1844	0.3355	0.2111
No. Obs	80	80	80	80	80	80	80	80	80

This table provides summary statistics for the sample of option returns and factors used in the analysis. The sample period is 2015 to 2021. For option variables the table shows the yield and volatility of the underlying asset, the prediction error of the forward price, embedded leverage, Black–Scholes implied volatility (IV), option Delta, option Gamma, option Vega, option Theta and option Rho