Table 4 Description of copper futures...

Table 4

Description of copper futures options from November 2, 2020 to October 29, 2021

	Short (10–90 days)				Long (>90 days)
	Price	$σ$ (%)	MN	Mat	Price	$σ$ (%)	MN	Mat
A. Deep OTM put (Moneyness<0.85)
Mean	43.6	36.56	0.7575	49	150.7	25.92	0.7489	147
Min	10.0	19.75	0.5296	10	14.0	16.31	0.5701	91
Max	326.0	94.10	0.8500	90	842.0	46.34	0.8500	323
SD	37.0	10.97	0.0765	20	123.1	5.53	0.0647	44
N	1,865				1,565
B. OTM put (0.85<Moneyness<1)
Mean	516.0	22.41	0.9264	42	1,054.0	19.77	0.9102	145
Min	10.0	12.35	0.8500	10	112.0	4.66	0.8500	91
Max	3310.0	41.56	0.9999	90	4,370.0	25.86	0.9998	323
SD	543.9	3.90	0.0422	22	753.0	2.31	0.0387	56
N	3,477				775
C. OTM call (1<Moneyness<1.15)
Mean	699.1	22.03	1.0623	42	1,572.4	19.98	1.0722	154
Min	10.0	13.80	1.0001	10	248.0	13.97	1.0001	91
Max	3,310.0	40.39	1.1499	90	4,878.0	39.59	1.1494	323
SD	589.3	3.18	0.0398	22	750.5	2.92	0.0354	60
N	2,763				689
D. Deep OTM call (Moneyness>1.15)
Mean	78.6	26.70	1.1815	41	459.9	21.27	1.1746	137
Min	10.0	18.84	1.1502	11	72.0	16.64	1.1508	91
Max	654.0	42.77	1.2601	89	892.0	25.47	1.2616	293
SD	79.1	4.42	0.0240	18	212.0	2.10	0.0242	62
N	261				47

	Short (10–90 days)				Long (>90 days)
	Price	$σ$ (%)	MN	Mat	Price	$σ$ (%)	MN	Mat
A. Deep OTM put (Moneyness<0.85)
Mean	43.6	36.56	0.7575	49	150.7	25.92	0.7489	147
Min	10.0	19.75	0.5296	10	14.0	16.31	0.5701	91
Max	326.0	94.10	0.8500	90	842.0	46.34	0.8500	323
SD	37.0	10.97	0.0765	20	123.1	5.53	0.0647	44
N	1,865				1,565
B. OTM put (0.85<Moneyness<1)
Mean	516.0	22.41	0.9264	42	1,054.0	19.77	0.9102	145
Min	10.0	12.35	0.8500	10	112.0	4.66	0.8500	91
Max	3310.0	41.56	0.9999	90	4,370.0	25.86	0.9998	323
SD	543.9	3.90	0.0422	22	753.0	2.31	0.0387	56
N	3,477				775
C. OTM call (1<Moneyness<1.15)
Mean	699.1	22.03	1.0623	42	1,572.4	19.98	1.0722	154
Min	10.0	13.80	1.0001	10	248.0	13.97	1.0001	91
Max	3,310.0	40.39	1.1499	90	4,878.0	39.59	1.1494	323
SD	589.3	3.18	0.0398	22	750.5	2.92	0.0354	60
N	2,763				689
D. Deep OTM call (Moneyness>1.15)
Mean	78.6	26.70	1.1815	41	459.9	21.27	1.1746	137
Min	10.0	18.84	1.1502	11	72.0	16.64	1.1508	91
Max	654.0	42.77	1.2601	89	892.0	25.47	1.2616	293
SD	79.1	4.42	0.0240	18	212.0	2.10	0.0242	62
N	261				47

Note(s): OTM: out-of-the-money. MN: moneyness, the ratio of an option’s strike price to its underlying price. Mat: maturity (in calendar days). Max: maximum. Min: minimum. SD: standard deviation. N: number of options. Price: computed using the implied volatility from the Wind database via Black-Scholes-Merton formulas. $σ$ (%): the Black-Scholes-Merton-implied volatility of “Price” re-computed in this paper. The options data is filtered by nine criteria described in Section 3.1

Source(s): Authors’ own work

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