VOLATILITY SUMMARY - SOFTS
As of: 052202 : CCN02 | CCU02 | KCN02 | SBN02 | CTN02 | JON02 |
Underlying Settle: 1560.s| 1544.s| 50.70s| 5.72s| 37.15s| 90.40s|
Change: -31. | -25. | -2.00 | +.12 | +.70 | +.05 |
: | | | | | |
Implied Volatility 30.89s| 32.70s| 43.16s| 40.90s| 33.66s| N/A |
Change from Prev: -3.63 | +.52 | N/A | -6.30 | +4.24 | N/A |
last 20Days High: 36.73 | 34.20 | N/A | 47.20 | 33.66 | N/A |
Avg: 34.35 | 32.60 | N/A | 34.48 | 30.86 | N/A |
Low: 30.89 | 30.84 | N/A | 29.08 | 29.42 | N/A |
last 60Days High: 40.08 | 38.79 | N/A | 47.20 | 36.35 | N/A |
Avg: 34.58 | 33.62 | N/A | 32.77 | 32.35 | N/A |
Low: 29.34 | 28.29 | N/A | 27.67 | 27.30 | N/A |
: | | | | | |
Historical 20 Day: 28.25% | 25.41% | 32.93% | 45.88% | 32.98% | 13.88% |
Volatility 30 Day: 26.38% | 23.78% | 35.88% | 44.36% | 30.56% | 11.89% |
50 Day: 25.13% | 23.45% | 39.61% | 37.93% | 28.87% | 12.93% |
100 Day: 28.14% | 27.69% | 36.28% | 35.17% | 28.61% | 14.10% |
200 Day: 30.34% | 30.01% | 34.28% | 30.26% | 28.95% | 14.41% |
Notes: Implied Volatility is interpolated for the at-the-money straddle.
VOLATILITY CHEAPNESS INDEX - SOFTS
As of: 052202 : CCN02 | CCU02 | KCN02 | SBN02 | CTN02 | JON02 |
Implied Volatility 30.89s| 32.70s| 43.16s| 40.90s| 33.66s| N/A |
change : -3.63 | +.52 | N/A | -6.30 | +4.24 | N/A |
Historical Volat : | | | | | |
Max : 56.5 | 44.1 | 135.5 | 45.7 | 47.1 | 59.6 |
Median : 23.4 | 23.8 | 34.0 | 22.9 | 21.5 | 28.7 |
Min : 6.8 | 14.4 | 15.1 | 9.2 | 10.4 | 12.7 |
Vol Cheapness Ind: 82.7 | 91.2 | 73.6 | 98.3 | 95.3 | N/A |
change : -11.0 | +1.7 | unch | -1.7 | +4.3 | N/A |
Last 20 sess : | | | | | |
High : 93.7 | 91.2 | N/A | 100.0 | 95.3 | N/A |
Avg : 88.2 | 90.3 | N/A | 99.1 | 93.2 | N/A |
Low : 82.7 | 89.5 | N/A | 98.3 | 91.0 | N/A |
Last 60 sess : | | | | | |
High : 93.7 | 91.2 | N/A | 100.0 | 95.3 | N/A |
Avg : 89.1 | 89.9 | N/A | 99.4 | 93.7 | N/A |
Low : 82.7 | 89.1 | N/A | 98.3 | 91.0 | N/A |
Days to Expiration 16 | 72 | 23 | 23 | 23 | 30 |
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 - SOFTS
As of: 052202 : CCN02 | CCU02 | KCN02 | SBN02 | CTN02 | JON02 |
Today: +1 Std Dev: 30. | 32. | 1.40 | .15 | .79 | N/A |
-1 Std Dev: 30. | 31. | 1.36 | .14 | .78 | N/A |
68% H: 1590. | 1576. | 52.10 | 5.87 | 37.94 | N/A |
L: 1530. | 1512. | 49.34 | 5.57 | 36.37 | N/A |
95% H: 1621. | 1608. | 53.49 | 6.02 | 38.74 | N/A |
L: 1500. | 1481. | 47.98 | 5.43 | 35.59 | N/A |
99% H: 1652. | 1640. | 54.89 | 6.17 | 39.54 | N/A |
L: 1470. | 1449. | 46.62 | 5.28 | 34.81 | N/A |
20Days +1 Std Dev: N/A | 149. | 6.55 | .70 | 3.69 | N/A |
Out: -1 Std Dev: N/A | 136. | 5.80 | .62 | 3.36 | N/A |
To +1 Std Dev: 104. | 241. | 5.80 | .62 | 3.27 | N/A |
Expir- -1 Std Dev: 97. | 208. | 5.20 | .56 | 3.01 | N/A |
ation 68% H: 1664. | 1785. | 56.50 | 6.34 | 40.42 | N/A |
L: 1462. | 1335. | 45.49 | 5.16 | 34.14 | N/A |
95% H: 1768. | 2026. | 62.30 | 6.95 | 43.70 | N/A |
L: 1364. | 1126. | 40.28 | 4.60 | 31.13 | N/A |
99% H: 1872. | 2268. | 68.10 | 7.57 | 46.97 | N/A |
L: 1267. | 918. | 35.08 | 4.04 | 28.12 | 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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