Replication data for: Too-Systemic-to-Fail: What Option Markets Imply about Sector-Wide Government Guarantees

Hanno Lustig, Bryan Kelly & Stijn Van Nieuwerburgh
We examine the pricing of financial crash insurance during the 2007-2009 financial crisis in US option markets, and we show that a large amount of aggregate tail risk is missing from the cost of financial sector crash insurance during the crisis. The difference in costs between out-of-the-money put options for individual banks and puts on the financial sector index increases four-fold from its precrisis 2003-2007 level. We provide evidence that a collective government guarantee for...
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