VOLATILITY SUMMARY - CBOT SOY COMPLEX
As of: 052202 : S N02 | S Q02 | BON02 | BOQ02 | SMN02 | SMQ02 |
Change: +2-4 | +2-0 | +.31 | +.35 | -.90 | -.90 |
: | | | | | |
Implied Volatility 23.65s| 25.29s| 21.13s| 23.70s| 24.45s| 23.69s|
Change from Prev: N/A | N/A | +3.59 | N/A | +3.52 | +2.31 |
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: 53.02% | 14.02% | 19.56% | 19.65% | 18.53% | 16.54% |
Volatility 30 Day: 43.82% | 14.37% | 18.28% | 18.27% | 17.59% | 16.50% |
50 Day:169.69% | 17.72% | 20.76% | 20.32% | 16.92% | 16.22% |
100 Day:120.09% | N/A | 19.84% | 19.80% | 19.21% | 18.11% |
200 Day: N/A | N/A | 20.71% | 20.61% | 17.36% | 16.43% |
Notes: Implied Volatility is interpolated for the at-the-money straddle.
VOLATILITY CHEAPNESS INDEX - CBOT SOY COMPLEX
As of: 052202 : S N02 | S Q02 | BON02 | BOQ02 | SMN02 | SMQ02 |
Implied Volatility 23.65s| 25.29s| 21.13s| 23.70s| 24.45s| 23.69s|
change : N/A | N/A | +3.59 | N/A | +3.52 | +2.31 |
Historical Volat : | | | | | |
Max : 37.9 | 32.8 | 33.4 | 30.3 | 38.5 | 31.8 |
Median : 14.0 | 15.2 | 17.6 | 18.0 | 15.1 | 15.8 |
Min : 4.9 | 6.5 | 8.2 | 10.5 | 7.1 | 7.9 |
Vol Cheapness Ind: 84.4 | 92.7 | 71.8 | 88.9 | 87.6 | 90.5 |
change : unch | unch | +33.1 | unch | +8.5 | +10.3 |
Last 20 sess : | | | | | |
High : N/A | N/A | 71.8 | N/A | 87.6 | 90.5 |
Avg : N/A | N/A | 55.2 | N/A | 83.4 | 85.4 |
Low : N/A | N/A | 38.7 | N/A | 79.1 | 80.3 |
Last 60 sess : | | | | | |
High : N/A | N/A | 71.8 | N/A | 87.6 | 90.5 |
Avg : N/A | N/A | 55.2 | N/A | 79.8 | 81.7 |
Low : N/A | N/A | 38.7 | N/A | 72.7 | 74.4 |
Days to Expiration 30 | 65 | 30 | 65 | 30 | 65 |
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 SOY COMPLEX
As of: 052202 : S N02 | S Q02 | BON02 | BOQ02 | SMN02 | SMQ02 |
Today: +1 Std Dev: 7-4 | 7-6 | .24 | .27 | 2.55 | 2.42 |
-1 Std Dev: 7-2 | 7-6 | .23 | .26 | 2.51 | 2.39 |
68% H: 500-4 | 495-6 | 17.99 | 18.15 | 166.75 | 163.62 |
L: 485-6 | 480-2 | 17.51 | 17.61 | 161.69 | 158.81 |
95% H: 507-6 | 503-6 | 18.22 | 18.42 | 169.30 | 166.05 |
L: 478-4 | 472-4 | 17.28 | 17.35 | 159.18 | 156.42 |
99% H: 515-2 | 511-4 | 18.46 | 18.68 | 171.85 | 168.47 |
L: 471-2 | 464-6 | 17.04 | 17.08 | 156.67 | 154.03 |
20Days +1 Std Dev: 34-0 | 36-0 | 1.09 | 1.23 | 11.71 | 11.13 |
Out: -1 Std Dev: 31-6 | 33-4 | 1.02 | 1.15 | 10.93 | 10.41 |
To +1 Std Dev: 34-4 | 55-0 | 1.11 | 1.88 | 11.92 | 16.95 |
Expir- -1 Std Dev: 32-2 | 49-4 | 1.04 | 1.70 | 11.12 | 15.34 |
ation 68% H: 527-4 | 543-0 | 18.86 | 19.76 | 176.12 | 178.15 |
L: 460-6 | 438-4 | 16.70 | 16.18 | 153.08 | 145.86 |
95% H: 562-2 | 598-0 | 19.97 | 21.64 | 188.05 | 195.10 |
L: 428-2 | 389-2 | 15.66 | 14.47 | 141.96 | 130.52 |
99% H: 596-6 | 653-0 | 21.07 | 23.52 | 199.98 | 212.05 |
L: 396-0 | 339-6 | 14.62 | 12.77 | 130.84 | 115.18 |
Notes: Shows probability of closing within price range based on
implied volatility on sub-annual basis. Call for charts & info.
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