Variable

Source and description

1

Index return

CRSP

2

Stock return

CRSP

3

Realized volatility index

CRSP

4

Realized stock volatility

Option metrics

5

Implied stock volatility

Option metrics

6

Realize idiosyncratic volatility

Standard deviation (index return, stock return)

7

Implied idiosyncratic volatility

Calculated with (stock beta, realized and implied stock volatility) [Equations (3) and (4)]

8

EGARCH idiosyncratic volatility

Fama French and liquidity factors [Equation (5)]

9

AR (2) idiosyncratic volatility

Fama French and liquidity factors [Equation (6)]

10

Market value

Option metric (use to calculate)

11

Firm’s equity

Compustat (use with equation of 10, to calculate)

12

Option volume

Option metrics (use to calculate option interest)