XOP
Benchmarks
| Task Name | Dataset Name | SOTA Result | Trend | |
|---|---|---|---|---|
| Option Pricing | XOP 2025Q2 τ=14d (Whole sample) | IVRMSE9.56 | 5 | |
| Option Pricing | XOP 2020Q1 τ=14d (Whole sample) | IVRMSE16.39 | 5 | |
| Option Pricing | XOP τ=56d 2020Q2 (Whole sample) | IVRMSE3.76 | 5 | |
| Option Pricing | XOP 2020Q1 τ=56d (Whole sample) | IVRMSE3.18 | 5 | |
| Option Pricing Accuracy | XOP Moneyness > 1.03, 28d maturity 2025Q2 | IVRMSE4.61 | 5 | |
| Option Pricing Accuracy | XOP 2020Q1, Moneyness > 1.03, 28d maturity | IVRMSE4.92 | 5 | |
| Option Pricing Accuracy | XOP 2025Q2, Moneyness > 1, 28d maturity | IVRMSE4.33 | 5 | |
| Option Pricing Accuracy | XOP Moneyness < 1, 28d maturity 2025Q2 | IVRMSE7.51 | 5 | |
| Option Pricing Accuracy | XOP 2020Q1, Moneyness < 1, 28d maturity | IVRMSE9.8 | 5 | |
| Option Pricing Accuracy | XOP Whole sample 28d maturity 2025Q2 | IVRMSE6.48 | 5 | |
| Option Pricing Accuracy | XOP Whole sample 28d maturity 2020Q1 | IVRMSE8.83 | 5 | |
| Option Hedging | XOP ATM 2020Q1 | Shortfall Probability0.96 | 4 | |
| Option Hedging | XOP ATM 2025Q2 | Shortfall Probability39 | 3 | |
| Option Hedging | XOP K/F=1.03 2025Q2 | Expected Shortfall (ES5%)2.711 | 2 | |
| Option Hedging | XOP K/F=1.03 (τ = 56d) 2020Q1 | ES5%42.4 | 2 | |
| Option Hedging | XOP K/F=1.03 2020Q1 | ES 5%50.2 | 1 | |
| Option Hedging | XOP K/F=1.03 (τ = 56d) 2025Q2 | ES5% (Expected Shortfall 5%)2.893 | 1 | |
| Option Hedging | XOP ATM (τ = 56d) 2025Q2 | Exposure Shortfall (ES5%)3.898 | 1 | |
| Option Hedging | XOP ATM (τ = 56d) 2020Q1 | Exposure Shortfall 5% (ES5%)42.4 | 1 |
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