VOLATILITY SUMMARY - CME MEATS
As of: 052202 : FCK02 | FCQ02 | LCM02 | LCQ02 | LHM02 | LHN02 |
Underlying Settle: 74.980s| 74.800s| 60.130s| 60.950s| 47.880s| 49.380s|
Change: +.080 | +.630 | +.730 | +.380 | -1.300 | -.400 |
: | | | | | |
Implied Volatility 14.11s| 158.43s| 17.19s| 8.74s| N/A | N/A |
Change from Prev:-155.76 | -19.24 | -37.29 |-108.65 | N/A | N/A |
last 20Days High: 169.87 | 177.67 | N/A | N/A | N/A | N/A |
Avg: 62.09 | 27.90 | N/A | N/A | N/A | N/A |
Low: 12.37 | 8.68 | 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: 15.46% | 17.69% | 22.81% | 19.64% | 31.06% | 28.01% |
Volatility 30 Day: 17.35% | 17.85% | 20.96% | 20.76% | 33.32% | 32.45% |
50 Day: 17.50% | 17.20% | 19.46% | 17.92% | 29.14% | 28.73% |
100 Day: 13.81% | 13.46% | 14.75% | 13.63% | 23.04% | 22.43% |
200 Day: 12.67% | N/A | 13.48% | 12.21% | 18.73% | 17.76% |
Notes: Implied Volatility is interpolated for the at-the-money straddle.
VOLATILITY CHEAPNESS INDEX - CME MEATS
As of: 052202 : FCK02 | FCQ02 | LCM02 | LCQ02 | LHM02 | LHN02 |
Implied Volatility 14.11s| 158.43s| 17.19s| 8.74s| N/A | N/A |
change :-155.76 | -19.24 | -37.29 |-108.65 | N/A | N/A |
Historical Volat : | | | | | |
Max : 29.1 | 20.1 | 33.1 | 23.0 | 31.7 | 27.4 |
Median : 9.6 | 11.6 | 11.0 | 10.8 | 16.1 | 17.5 |
Min : 2.7 | 6.6 | 3.7 | 6.8 | 4.5 | 6.7 |
Vol Cheapness Ind: 77.9 | 100.0 | 87.6 | 11.8 | .0 | 89.6 |
change : -22.1 | unch | -12.4 | -88.2 | -100.0 | +10.1 |
Last 20 sess : | | | | | |
High : 100.0 | 100.0 | 100.0 | 100.0 | N/A | 89.6 |
Avg : 88.9 | 100.0 | 93.8 | 55.9 | N/A | 89.6 |
Low : 77.9 | 100.0 | 87.6 | 11.8 | N/A | 89.6 |
Last 60 sess : | | | | | |
High : 100.0 | 100.0 | 100.0 | 100.0 | N/A | 89.6 |
Avg : 92.6 | 82.1 | 95.9 | 55.9 | N/A | 89.6 |
Low : 77.9 | 46.4 | 87.6 | 11.8 | N/A | 89.6 |
Days to Expiration 8 | 99 | 16 | 72 | 23 | 54 |
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 - CME MEATS
As of: 052202 : FCK02 | FCQ02 | LCM02 | LCQ02 | LHM02 | LHN02 |
Today: +1 Std Dev: .680 | 7.850 | .650 | .330 | N/A | N/A |
-1 Std Dev: .680 | 7.100 | .650 | .330 | N/A | N/A |
68% H: 75.650 | 82.650 | 60.780 | 61.280 | N/A | N/A |
L: 74.300 | 67.700 | 59.480 | 60.630 | N/A | N/A |
95% H: 76.330 | 90.500 | 61.430 | 61.630 | N/A | N/A |
L: 73.650 | 60.600 | 58.830 | 60.280 | N/A | N/A |
99% H: 76.980 | 98.350 | 62.100 | 61.950 | N/A | N/A |
L: 72.980 | 53.480 | 58.180 | 59.950 | N/A | N/A |
20Days +1 Std Dev: N/A | 42.080 | N/A | 1.530 | N/A | N/A |
Out: -1 Std Dev: N/A | 26.930 | N/A | 1.480 | N/A | N/A |
To +1 Std Dev: 1.580 | 95.900 | 2.200 | 2.430 | N/A | N/A |
Expir- -1 Std Dev: 1.550 | 42.030 | 2.130 | 2.330 | N/A | N/A |
ation 68% H: 76.550 |170.700 | 62.330 | 63.380 | N/A | N/A |
L: 73.430 | 32.780 | 58.000 | 58.630 | N/A | N/A |
95% H: 78.150 |266.600 | 64.530 | 65.780 | N/A | N/A |
L: 71.880 | -9.250 | 55.880 | 56.300 | N/A | N/A |
99% H: 79.730 |362.500 | 66.730 | 68.200 | N/A | N/A |
L: 70.330 |-51.280 | 53.750 | 53.980 | N/A | N/A |
Notes: Shows probability of closing within price range based on
implied volatility on sub-annual basis. Call for charts & info.
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