| Dataset Name | SOTA Method | Metric | Trend | ||
|---|---|---|---|---|---|
| S&P 500 options 317 longer prediction horizons | Diebold-Mariano Test Statistic7.83 | 92 | 2mo ago | ||
| S&P 500 options 317 shorter prediction horizons (out-of-sample) | DM Test Statistic6.92 | 92 | 2mo ago | ||
| 317 shorter prediction horizons | SKINN+DSNN-NASV | Diebold-Mariano Test Statistic1.8 | 64 | 2mo ago | |
| 317 longer prediction horizons (out-of-sample) | SKINN+HSV | Diebold-Mariano Test Statistic-8.42 | 64 | 2mo ago | |
| SPY ATM 2020Q1 | RLOP | Shortfall Probability91 | 5 | 2mo ago | |
| XOP ATM 2020Q1 | RLOP | Shortfall Probability0.96 | 4 | 2mo ago | |
| XOP ATM 2025Q2 | RLOP | Shortfall Probability39 | 3 | 2mo ago | |
| XOP K/F=1.03 2025Q2 | RLOP | Expected Shortfall (ES5%)2.711 | 2 | 2mo ago | |
| SPY K/F=1.03 2025Q2 | ES 5%14.535 | 2 | 2mo ago | ||
| SPY ATM 2025Q2 | ES 5%17.711 | 2 | 2mo ago | ||
| SPY K/F=1.03 2020Q1 | QLBS | Expected Shortfall (5%)6.187 | 2 | 2mo ago | |
| XOP K/F=1.03 (τ = 56d) 2020Q1 | RLOP | ES5%42.4 | 2 | 2mo ago | |
| XOP K/F=1.03 2020Q1 | RLOP | ES 5%50.2 | 1 | 2mo ago | |
| XOP K/F=1.03 (τ = 56d) 2025Q2 | QLBS | ES5% (Expected Shortfall 5%)2.893 | 1 | 2mo ago | |
| XOP ATM (τ = 56d) 2025Q2 | QLBS | Exposure Shortfall (ES5%)3.898 | 1 | 2mo ago | |
| XOP ATM (τ = 56d) 2020Q1 | RLOP | Exposure Shortfall 5% (ES5%)42.4 | 1 | 2mo ago | |
| SPY 2025Q2 K/F=1.03 (τ = 56d) | RLOP | ES5%15.437 | 1 | 2mo ago | |
| SPY ATM (τ = 56d) 2025Q2 | ES 5%22.015 | 1 | 2mo ago | ||
| SPY K/F=1.03 (τ = 56d) 2020Q1 | ES (5%)8.002 | 1 | 2mo ago | ||
| SPY ATM (τ = 56d) 2020Q1 | Exposure Shortfall (5%)9.963 | 1 | 2mo ago |
