VOLATILITY SUMMARY - CBOT GRAINS
As of: 052202 : C N02 | C U02 | W N02 | W U02 | O N02 | O U02 |
Underlying Settle: 207-4s| 214-2s| 269-0s| 275-0s| 155-4s| 129-4s|
Change: -3-2 | -2-6 | -4-0 | -3-4 | +3-0 | +2-0 |
: | | | | | |
Implied Volatility 26.57s| 30.76s| 21.90s| 23.31s| 46.29s| 36.17s|
Change from Prev: N/A | N/A | N/A | N/A | N/A | N/A |
last 20Days High: N/A | N/A | N/A | N/A | N/A | N/A |
Avg: N/A | N/A | N/A | N/A | N/A | N/A |
Low: N/A | N/A | N/A | N/A | N/A | N/A |
last 60Days High: N/A | N/A | N/A | N/A | N/A | N/A |
Avg: N/A | N/A | N/A | N/A | N/A | N/A |
Low: N/A | N/A | N/A | N/A | N/A | N/A |
: | | | | | |
Historical 20 Day: 22.47% | 36.35% | 22.86% | 21.47% | 45.00% | 25.47% |
Volatility 30 Day: 20.11% | 30.37% | 23.27% | 19.46% | 48.83% | 26.78% |
50 Day: 17.19% | 24.39% | 22.40% | N/A | 42.82% | N/A |
100 Day: N/A | N/A | N/A | N/A | N/A | N/A |
200 Day: N/A | N/A | N/A | N/A | N/A | N/A |
Notes: Implied Volatility is interpolated for the at-the-money straddle.
VOLATILITY CHEAPNESS INDEX - CBOT GRAINS
As of: 052202 : C N02 | C U02 | W N02 | W U02 | O N02 | O U02 |
Implied Volatility 26.57s| 30.76s| 21.90s| 23.31s| 46.29s| 36.17s|
change : N/A | N/A | N/A | N/A | N/A | N/A |
Historical Volat : | | | | | |
Max : 47.6 | 40.7 | 82.0 | 64.3 | 82.0 | 62.7 |
Median : 15.1 | 16.1 | 17.8 | 18.5 | 23.5 | 24.7 |
Min : 4.7 | 6.5 | 8.3 | 10.2 | 9.2 | 13.3 |
Vol Cheapness Ind: 87.4 | 91.2 | 72.4 | 79.7 | 90.5 | 79.8 |
change : unch | unch | unch | unch | unch | unch |
Last 20 sess : | | | | | |
High : N/A | N/A | N/A | N/A | N/A | N/A |
Avg : N/A | N/A | N/A | N/A | N/A | N/A |
Low : N/A | N/A | N/A | N/A | N/A | N/A |
Last 60 sess : | | | | | |
High : N/A | N/A | N/A | N/A | N/A | N/A |
Avg : N/A | N/A | N/A | N/A | N/A | N/A |
Low : N/A | N/A | N/A | N/A | N/A | N/A |
Days to Expiration 30 | 93 | 30 | 93 | 30 | 100 |
Notes: VCI ranks implied vol on a percentile basis (100 max, 0 min)
against historical vol for given days to expiration. Call for more info.
SIGMA BOUNDARY - CBOT GRAINS
As of: 052202 : C N02 | C U02 | W N02 | W U02 | O N02 | O U02 |
Today: +1 Std Dev: 3-4 | 4-2 | 3-6 | 4-0 | 4-4 | 3-0 |
-1 Std Dev: 3-4 | 4-0 | 3-6 | 4-0 | 4-4 | 3-0 |
68% H: 211-0 | 218-4 | 272-6 | 279-0 | 160-0 | 132-4 |
L: 204-0 | 210-2 | 265-2 | 271-0 | 151-0 | 126-4 |
95% H: 214-4 | 222-6 | 276-4 | 283-2 | 164-6 | 135-4 |
L: 200-4 | 206-0 | 261-6 | 267-0 | 146-4 | 123-6 |
99% H: 218-0 | 226-6 | 280-2 | 287-2 | 169-2 | 138-4 |
L: 197-2 | 202-0 | 258-0 | 263-0 | 142-0 | 120-6 |
20Days +1 Std Dev: 16-2 | 19-4 | 17-0 | 18-6 | 21-6 | 14-0 |
Out: -1 Std Dev: 15-0 | 17-6 | 16-0 | 17-4 | 19-0 | 12-4 |
To +1 Std Dev: 16-4 | 36-0 | 17-4 | 34-2 | 22-0 | 27-0 |
Expir- -1 Std Dev: 15-2 | 30-6 | 16-2 | 30-4 | 19-2 | 22-2 |
ation 68% H: 224-0 | 250-2 | 286-4 | 309-2 | 177-4 | 156-4 |
L: 192-2 | 183-4 | 252-6 | 244-4 | 136-2 | 107-2 |
95% H: 240-2 | 286-2 | 303-6 | 343-6 | 199-6 | 183-4 |
L: 177-0 | 152-6 | 236-2 | 214-0 | 116-6 | 84-6 |
99% H: 256-6 | 322-2 | 321-2 | 378-0 | 221-6 | 210-4 |
L: 161-6 | 121-6 | 220-0 | 183-4 | 97-4 | 62-4 |
Notes: Shows probability of closing within price range based on
implied volatility on sub-annual basis. Call for charts & info.
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