Time-series dynamics of integration domain endpoints.

Notes: This figure illustrates the time-series dynamics of the endpoints of the daily integration domain after the data filtration procedure. The minimum and maximum endpoints are measured as $Kmin$ and $Kmax$ in Panel A, $Kmin-S$ and $Kmax-S$ in Panel B, and as $-d1(Kmin)$ and $-d1(Kmax)$ in Panel C, where $S$ is the underlying price, $Kmin$ and $Kmax$ are the minimum and maximum strike prices of the integration domain, and $d1$ is derived from the Black–Scholes option pricing formula.