oil.2012.10.01 {RND}

West Texas Intermediate Crude Oil Options on 2013-10-01

Description

This dataset contains West Texas Intermediate (WTI) crude oil options with 43 days to expiration at the end of the business day October 1, 2012. On October 1, 2012, WTI closed at 92.44.

Usage

data(oil.2012.10.01)

Format

A data frame with 332 observations on the following 7 variables.

type

a factor with levels C for call option P for put option

strike

option strike

settlement

option settlement price

openint

option open interest

volume

trading volume

delta

option delta

impliedvolatility

option implied volatility

Source

CME posts sample data at: http://www.cmegroup.com/market-data/datamine-historical-data/endofday.html

Examples

data(oil.2012.10.01)