I want to know how to run this program. in other word the data file name and the variable that I must include in the data /***********************************************************************/ /* */ /* Program: Option-Based Factors */ /* Author : Luis Palacios, WRDS */ /* Date : 03/01/2010 */ /* Revised : 03/29/2010 */ /* Steps : */ /* - Get Daily option prices for all S&P500 options */ /* - S&P500 (SPX) secid in optionmetrics is 108105 */ /* - Filters applied on 1st trading day of month */ /* - Keep options expiring in the following month */ /* - Keep only options with available prices */ /* - Keep options with standard settlements */ /* */ /* Notes on SPX Options: */ /* - Expiration: Saturday Following the 3rd Friday of Expiration Month */ /* - Exercise Style: European exercisable on last bus day bef. exp. */ /* */ /* Example: %optionfactor(begyear=1996,endyear=2009, */ /* flag=C,atm_otm=OTM,outfile=myfinalOTM); */ /* ******************************************************************* */ %macro optionfactor (begyear=1996,endyear=2012,flag=C,atm_otm=OTM,outfile=myfinalOTM,sp500_id=108105); data a1; set %do i=&begyear %to &endyear; OPTIONM.OPPRCD&i (keep = date secid exdate strike_price best_bid best_offer optionid exdate ss_flag cp_flag where = (secid=&sp500_id)) %end; ; month = month(date); year = year(date) ; /* Keep Options with Standard Settlment, i.e. 0 Special. Settl. Flag */ if ss_flag='0' and cp_flag="&flag" and best_bid>0 and best_offer>0; /* Mid-Price */ price = (best_bid + best_offer)/2; /* Strike Price Adjustment */ strike=strike_price/1000; /* Standard SPX option expire Saturday (weekday=7)following the third Friday of the expiration month */ if weekday(exdate)=7; * it eliminates non standard-date options; drop ss_flag cp_flag best_bid best_offer strike_price; run; /* Sort Dataset to Keep First Observation per Month */ proc sort data=a1 out=a1; by optionid year month date; run; /* Use Data from the First Trading Day of the Month */ /* Keep only Options that Expire in the Following Month */ data a2; set a1; by optionid year month date; if first.month; if intck('month',date,exdate)=1; run; /* Get Price of the underlying index (S&P 500) */ data b1; set %do i=&begyear %to &endyear %by 1; optionm.secprd&i (where = (secid=&sp500_id)) %end; ; month = month(date); year = year(date); /* CLOSE is closing price at the end of the day */ keep date year month close secid; run; /* Sort Price Data */ proc sort data=b1 out=b1; by secid year month date; run; /* Keep data on first day of the month */ data b2; set b1; by secid year month date; if first.month; run; /* Add Risk-Free Rate for Present Value Calculation */ proc sql; create table b3 as select a.rf, b.* from ff.factors_monthly as a, b2 as b where a.year=b.year and a.month=b.month; quit; /* Merge Option data with price data to identify moneyness */ /* Discount Rate for Strike Price of options expiring at 'exdate' */ %let discount = (( 1 + b.rf) ** ( -(a.exdate-a.date)/30 )) ; /* Select option whose Strike Price PV is closest to current price */ proc sql; create table _list as select a.date, a.secid, a.price, a.exdate, a.strike , b.close, a.optionid, a.strike*&discount - b.close as diff from a2 as a, b3 as b where a.date=b.date group by a.date having abs(diff)=min(abs(diff)); quit; %if &atm_otm=ATM %then %goto finalstep; /* Next Step is for OTM options Exclusively */ %else %if &atm_otm=OTM %then %do; %if &flag=C %then %let sign = < ; %else %if &flag=P %then %let sign = > ; %end; proc sql undo_policy=none; create table _list2 as select b.*, ((a.close + abs(a.diff)) - b.strike) as diff2 from _list(keep=date strike close diff) as a, a2 as b where a.date=b.date and ( a.close + abs(a.diff) ) &sign b.strike /* Out the money OTM PUT sign is positive, OTM CALL sign is negative */ and a.strike &sign b.strike group by a.date having abs(diff2)=min(abs(diff2)) ; quit; /* Final Step bookmark */ %finalstep: %if &atm_otm=ATM %then %let inputfile= _list ; %else %if &atm_otm=OTM %then %let inputfile= _list2 ; /* For selected options grab prices at the beg. of the next month */ proc sql; create table &outfile as select intnx('month',a.date,0,'end') as DATE format yymmddn8., (b.price/a.price)-1 as Factor_Ret "Option-Based Factor" format percentn8.2, "&flag" as flag, "&atm_otm" as money from &inputfile as a, a1 as b where a.optionid=b.optionid and intck('month',a.date,b.date)=1 group by a.date having b.date=min(b.date) order by a.date ; quit; ... View more