Suppose that i have data that for each day i have more than one option, either put or call. I.E. I have more than 20 put options and 20 call options for each specific day.
What is the way to estimate the option implied skewness and kurtosis for that specific dataset? Is there a package in R, or some code to help me understand how to do it? For each option i have information like the
EDIT.1: I am not sure in terms of data; typically more than 1 option is present on a certain date. I.e. on the
03-02-2010 we can have 30 options on expiration date
A, 50 on expiration date
B and so forth, which each having their respective values introduced prior. When finding the kurtosis/skewness the procedure includes at the same time all options; taking into account the different expiration dates (seems more logical), or not?
EDIT.2: One good way to measure those metrics, is through the Corrado and Su (1996) model, or, even better, with the corrected Brown and Robinson (2002) equations of the Corrado and Su model. Link is in the comment below.