This report provides realized volatility for multiple tenors for optionable underlyers and excludes the variance associated with earnings announcements.
The price variance associated with each earnings event that occurred in the respective lookback period of the calculated tenor is excluded from the realized volatility calculation. This proprietary valuation model uses a business day calendar with intraday time decay along with discrete dividend estimates, proprietary implied borrow rates, and proprietary arbitrage-free smoothed volatility surfaces. Files are labeled with a date-time in Central time.
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