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ResearchFormerly WizWand

Option Pricing

Benchmarks

DatasetSOTA methodMetricTrendResultsLast updated

Option pricing data 317 shorter prediction horizons (out-of-sample)

4.49Diebold-Mariano Statistic

92

Apr 2, 2026

S&P 500 index options 317 longer prediction horizons

3.09Diebold-Mariano Test Statistic

41

Apr 2, 2026

XOP 2025Q2 τ=14d (Whole sample)

9.56IVRMSE

5

Mar 10, 2026

SPY 2025Q2 τ=14d (Whole sample)

9.49IVRMSE

5

Mar 10, 2026

XOP 2020Q1 τ=14d (Whole sample)

16.39IVRMSE

5

Mar 10, 2026

SPY 2020Q1 τ=14d (Whole sample)

5.53IVRMSE

5

Mar 10, 2026

XOP τ=56d 2020Q2 (Whole sample)

3.76IVRMSE

5

Mar 10, 2026

SPY 2020Q2 τ=56d

4.36IVRMSE

5

Mar 10, 2026

XOP 2020Q1 τ=56d (Whole sample)

3.18IVRMSE

5

Mar 10, 2026

SPY 2020Q1 τ=56d (Whole sample)

1.23IVRMSE

5

Mar 10, 2026

15.777Price

4

Jun 17, 2026

14.214Price

4

Jun 17, 2026

1.478Price

4

Jun 17, 2026

12.009Price

3

Jun 17, 2026

26.55Price

3

Jun 17, 2026

11.51Price

3

Jun 17, 2026

4.601Price

3

Jun 17, 2026