The two files are:
- distribute.R: illustrates the use of the csv data file.
- distribute.csv.gz: the data file.
From memory, here are the fields:
- call based data (.c)
- N is number of options used in calc. p95.c and n05.c are probably the options sitting at the 5th and 95th percentile for the at-the-money options (which are counted as such if they are within 2% of the current strikeprice).
- put based data (.p)
- historical volatility