skfolio.datasets.load_sp500_implied_vol_dataset#

skfolio.datasets.load_sp500_implied_vol_dataset(data_home=None, download_if_missing=True)[source]#

Load the 3 months ATM implied volatility of the 20 assets from the SP500 dataset.

This dataset is composed of the 3 months ATM implied volatility of 20 assets from the S&P 500 composition starting from 2010-01-04 up to 2022-12-28.

Caution

This dataset is provided solely for testing and example purposes. It is a stale dataset and does not reflect current or accurate market prices. It is not intended for investment, trading, or commercial use and should not be relied upon as authoritative market data.

Observations

3270

Assets

20
Parameters:
data_homestr, optional

Specify another download and cache folder for the datasets. By default, all skfolio data is stored in ~/skfolio_data subfolders.

download_if_missingbool, default=True

If False, raise an OSError if the data is not locally available instead of trying to download the data from the source site.

Returns:
dfDataFrame of shape (n_observations, n_assets)

Implied volatility DataFrame

Examples

>>> from skfolio.datasets import load_sp500_implied_vol_dataset
>>> implied_vol = load_sp500_implied_vol_dataset()
>>> implied_vol.head()
                AAPL       AMD       BAC  ...       UNH       WMT       XOM
Date                                      ...
2010-01-04  0.364353  0.572056  0.382926  ...  0.362751  0.171737  0.201485
2010-01-05  0.371865  0.568791  0.374699  ...  0.368504  0.174764  0.203852
2010-01-06  0.356746  0.558054  0.349220  ...  0.368514  0.171892  0.197475
2010-01-07  0.361084  0.560475  0.354942  ...  0.355792  0.169083  0.200046
2010-01-08  0.348085  0.543932  0.360345  ...  0.351130  0.170897  0.204832