Guide to Chatvaari Volatility Research Data Files

FINANCE 663: International Finance

Prepared for: Prof. Cam Harvey

March 3, 2014

Compiled by Chatvaari

Whit Graham / Josh Kaehler / Matt Seitz

Assistance from – Brooks Hopple

Variance Swap Files

  1. [Proprietary] Chatvaari_Volatility_Research_VarSwap_RawData – Contains historical raw data on variance swaps that was used in analysis. Each maturity has its own tab. Realized volatility is computed on individual maturity tabs. For instance, each row in the “2M Data” tab has a date and in column P a “realized volatility” for the 2 months beginning on the date of that row.

The “Raw Data Compiled” tab organizes data relevant results from each maturity’s tab in one place. “Regression Data” organizes data to be used for running regressions.

  1. [Proprietary] Chatvaari_Volatility_Research_FTSE_RawData – Very similar to #1 only instead of computing S&P volatility, calculates FTSE. Vol calculations are again completed on “maturity” tabs. “Regression Data” and “Raw Data Compiled” serve for organization. Variance swap data on first two tabs comes from #1.
  1. [Proprietary] Chatvaari_Volatility_Research_DAX_RawData – Contains results used for DAX analysis. “Regression Data” and “Raw Data Compiled” same as above. The original file was so large that we have only included the summary data here for ease of use. Can pass along raw DAX data if desired.
  1. Chatvaari_Volatility_Research_ VSv.RealVol Results – Contains results of regressions done on #1. Can also be found in Appendices 1 and 2 in paper.
  1. Chatvaari_Volatility_Research_VSv.DAX Results – Results of regressions done on #3’s data. Can also be found in Appendix 3 of paper.
  1. Chatvaari_Volatility_Research_VSv.FTSE Results – Results of regressions done on #2’s data. Can also be found in Appendix 3 of paper.
  1. Chatvaari_Volatility_Research_Predicting SP Returns with VS – Results of regressions done in an attempt to develop an S&P trading strategy using variance swap rates, the spread between variance swaps, and historical volatility.
  1. Chatvaari_Volatility_Research_VIX Regression Outputs AND VS Trade Strategy - Contains regressions on change in implied volatility & VIX trading strategy data, included in appendix 4. Trading strategy data is on the 'trading strategy' tab at back of file.

CFO Survey Data Files

  1. Chatvaari_Volatility_Research_CFO_Raw_Data – Contains raw CFO survey data and regressions run on S&P 500 volatility. Beginning with “Change1yrSD v. d1moreal” tab are regression data tabs, regression output tabs, and summary tabs. Each regression data tab is followed by the corresponding output tab. Output tabs which showed statistically significant relationships are shaded red. Summary tabs are shaded yellow. Summary tabs group together results of independent variable. For example, relevant t-Stats and R-Squares for all one year standard deviation forecast regressions.
  1. Chatvaari_Volatility_Research_FTSE_CFO_Results – Similar to #9. Early data tabs contain FTSE volatility instead of S&P. Format for data, output, and summary tabs is same as #9.
  1. Chatvaari_Volatility_Research_CFO_Trading_Strategies – First three red tabs contain three broad “strategies” attempted. “Diff Btwn Imp. And Proj. Strat” tab contains data used to compute returns and make “trading” decisions in columns A through I. Columns J through M are related to the Long VIX or Cash version, Columns N and O the Long or Short VIX version, and P and on the Long S&P or Long VIX version.

For “VIX Projection Strategy” the columns F through M are LONG/SHORT VIX and N on is LONG/SHORT/CASH. The variance swap strategy is on the third tab.

Regression data and outputs for a VIX projection and attempts to predict the change in implied volatility are in the tabs that follow the trading strategy tabs. Outputs from these regressions can also be found in the last two appendices of the paper.