VOLATILITY SUMMARY - COMEX METALS
As of: 052202 : GCQ02 | GCV02 | SIN02 | SIU02 | HGM02 | HGN02 |
Underlying Settle: 319.6s| 320.6s| 484.0s| 485.9s| 72.50s| 72.90 |
Change: +2.2 | +2.2 | -.5 | -.4 | +.05 | +.15 |
: | | | | | |
Implied Volatility 15.33s| 14.97s| 21.62s| 20.70s| 20.94s| 18.33 |
Change from Prev: -.93 | +.32 | +.24 | +.23 | +2.76 | -.83 |
last 20Days High: N/A | N/A | N/A | N/A | 22.92 | 21.92 |
Avg: N/A | N/A | N/A | N/A | 20.05 | 19.45 |
Low: N/A | N/A | N/A | N/A | 15.02 | 15.80 |
last 60Days High: N/A | N/A | N/A | N/A | 22.92 | 22.74 |
Avg: N/A | N/A | N/A | N/A | 19.94 | 19.73 |
Low: N/A | N/A | N/A | N/A | 15.02 | 15.80 |
: | | | | | |
Historical 20 Day: 11.72% | 11.73% | 16.46% | 16.44% | 15.23% | 16.80% |
Volatility 30 Day: 10.87% | 10.87% | 17.86% | 17.80% | 15.95% | 16.23% |
50 Day: 11.20% | 11.22% | 16.33% | 16.36% | 16.45% | 17.51% |
100 Day: 13.70% | 13.64% | 18.54% | 19.99% | 21.43% | 21.65% |
200 Day: 14.12% | 14.00% | 20.60% | 20.73% | 19.68% | 19.77% |
Notes: Implied Volatility is interpolated for the at-the-money straddle.
VOLATILITY CHEAPNESS INDEX - COMEX METALS
As of: 052202 : GCQ02 | GCV02 | SIN02 | SIU02 | HGM02 | HGN02 |
Implied Volatility 15.33s| 14.97s| 21.62s| 20.70s| 20.94s| 18.33 |
change : -.93 | +.32 | +.24 | +.23 | +2.76 | -.83 |
Historical Volat : | | | | | |
Max : 25.1 | 20.3 | 51.9 | 40.8 | 112.9 | 72.9 |
Median : 8.2 | 8.5 | 20.2 | 21.8 | 16.6 | 20.3 |
Min : 3.1 | 4.2 | 5.4 | 9.5 | 1.1 | 6.5 |
Vol Cheapness Ind: 93.0 | 91.1 | 55.4 | 45.6 | 41.1 | 41.3 |
change : -.8 | +1.5 | +5.7 | +3.8 | unch | +3.4 |
Last 20 sess : | | | | | |
High : 93.8 | 91.1 | 55.4 | 45.6 | 41.1 | 41.3 |
Avg : 93.4 | 90.4 | 52.6 | 43.7 | 41.1 | 39.6 |
Low : 93.0 | 89.6 | 49.8 | 41.8 | 41.1 | 37.9 |
Last 60 sess : | | | | | |
High : 93.8 | 94.0 | 55.4 | 45.6 | 50.6 | 42.5 |
Avg : 93.4 | 91.6 | 48.8 | 40.3 | 44.3 | 40.5 |
Low : 93.0 | 89.6 | 41.2 | 33.6 | 41.1 | 37.9 |
Days to Expiration 51 | 114 | 23 | 79 | 6 | 34 |
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 - COMEX METALS
As of: 052202 : GCQ02 | GCV02 | SIN02 | SIU02 | HGM02 | HGN02 |
Today: +1 Std Dev: 3.1 | 3.0 | 6.6 | 6.4 | .95 | .85 |
-1 Std Dev: 3.0 | 3.0 | 6.5 | 6.3 | .95 | .85 |
68% H: 322.7 | 323.6 | 490.6 | 492.3 | 73.45 | 73.75 |
L: 316.5 | 317.6 | 477.4 | 479.6 | 71.55 | 72.05 |
95% H: 325.8 | 326.7 | 497.2 | 498.6 | 74.45 | 74.60 |
L: 313.4 | 314.6 | 470.9 | 473.3 | 70.60 | 71.25 |
99% H: 328.9 | 329.7 | 503.9 | 505.0 | 75.40 | 75.45 |
L: 310.4 | 311.5 | 464.3 | 467.0 | 69.65 | 70.40 |
20Days +1 Std Dev: 14.1 | 13.8 | 30.4 | 29.2 | N/A | 3.85 |
Out: -1 Std Dev: 13.5 | 13.2 | 28.6 | 27.5 | N/A | 3.65 |
To +1 Std Dev: 18.8 | 28.0 | 27.0 | 49.1 | 1.95 | 4.20 |
Expir- -1 Std Dev: 17.8 | 25.7 | 25.5 | 44.6 | 1.90 | 3.95 |
ation 68% H: 338.4 | 348.6 | 511.0 | 535.0 | 74.45 | 77.10 |
L: 301.8 | 294.8 | 458.4 | 441.3 | 70.60 | 68.95 |
95% H: 357.3 | 376.5 | 538.0 | 584.1 | 76.45 | 81.30 |
L: 284.0 | 269.1 | 432.8 | 396.7 | 68.65 | 64.95 |
99% H: 376.1 | 404.5 | 565.0 | 633.2 | 78.40 | 85.50 |
L: 266.2 | 243.4 | 407.3 | 352.1 | 66.75 | 61.00 |
Notes: Shows probability of closing within price range based on
implied volatility on sub-annual basis. Call for charts & info.
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