Variables

Mean

Median

5^th percentile

95^th percentile

Implied volatility

0.506

0.465

0.274

0.855

Realized volatility

0.482

0.433

0.245

0.856

Implied idiosyncratic volatility

0.354

0.328

0.155

0.649

Realized idiosyncratic volatility

0.383

0.351

0.197

0.674

EGARCH idiosyncratic volatility

0.390

0.341

0.139

0.791

AR (2) idiosyncratic volatility

0.431

0.379

0.167

0.859

Book-to-market ratio (BM)

0.53

0.44

0.07

1.03

Equity beta

1.21

1.02

0.26

2.67

ORW_ratio (ORW)

0.07

0.05

-1.04

1.20

Open-interest (OI)

11.21

11.08

8.24

14.70