VOLATILITY SUMMARY - CBOT INTEREST RATES
As of: 052202 : USM02 | USU02 | TYM02 | TYU02 | FVM02 | FVU02 |
Underlying Settle: 101-26s| 100-21s|106-000s|104-210s|106-225s|105-130s|
Change: +0-18 | +0-18 | +0-120 | +0-120 | +0-090 | +0-090 |
: | | | | | |
Implied Volatility 9.24s| 10.27s| 6.93s| 7.44s| 4.99s| 4.91s|
Change from Prev: -.39 | -.11 | -.02 | -.39 | +.28 | -.05 |
last 20Days High: 11.69 | 11.66 | 9.58 | N/A | 6.09 | N/A |
Avg: 10.59 | 11.12 | 8.77 | N/A | 5.61 | N/A |
Low: 5.27 | 10.27 | 6.93 | N/A | 4.71 | N/A |
last 60Days High: 11.69 | N/A | 9.74 | N/A | N/A | N/A |
Avg: 10.56 | N/A | 8.60 | N/A | N/A | N/A |
Low: 5.27 | N/A | 6.93 | N/A | N/A | N/A |
: | | | | | |
Historical 20 Day: 9.68% | 9.72% | 6.65% | 6.80% | 4.48% | 4.62% |
Volatility 30 Day: 8.87% | 8.94% | 5.84% | 5.98% | 3.93% | 4.05% |
50 Day: 9.10% | 9.16% | 6.08% | 6.15% | 3.99% | 4.04% |
100 Day: 9.75% | 10.05% | 6.48% | 6.48% | 4.63% | N/A |
200 Day: 11.14% | 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 INTEREST RATES
As of: 052202 : USM02 | USU02 | TYM02 | TYU02 | FVM02 | FVU02 |
Implied Volatility 9.24s| 10.27s| 6.93s| 7.44s| 4.99s| 4.91s|
change : -.39 | -.11 | -.02 | -.39 | +.28 | -.05 |
Historical Volat : | | | | | |
Max : 35.0 | 12.7 | 22.8 | 8.9 | 16.3 | 6.0 |
Median : 7.4 | 8.6 | 4.8 | 6.1 | 3.3 | 4.2 |
Min : .0 | 6.1 | .2 | 3.5 | .2 | 2.3 |
Vol Cheapness Ind: 72.2 | 78.1 | 76.5 | 89.5 | 73.2 | 80.7 |
change : unch | -3.9 | unch | -4.3 | unch | -3.3 |
Last 20 sess : | | | | | |
High : 72.2 | 82.0 | 76.5 | 93.8 | 73.2 | 84.0 |
Avg : 72.2 | 80.1 | 76.5 | 91.6 | 73.2 | 82.3 |
Low : 72.2 | 78.1 | 76.5 | 89.5 | 73.2 | 80.7 |
Last 60 sess : | | | | | |
High : 84.3 | 86.6 | 95.8 | 100.0 | 93.6 | N/A |
Avg : 76.3 | 82.2 | 82.9 | 94.4 | 80.0 | N/A |
Low : 72.2 | 78.1 | 76.5 | 89.5 | 73.2 | N/A |
Days to Expiration 3 | 93 | 3 | 93 | 3 | 94 |
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 INTEREST RATES
As of: 052202 : USM02 | USU02 | TYM02 | TYU02 | FVM02 | FVU02 |
Today: +1 Std Dev: 0-19 | 0-21 | 0-150 | 0-155 | 0-105 | 0-105 |
-1 Std Dev: 0-19 | 0-21 | 0-150 | 0-155 | 0-105 | 0-105 |
68% H: 102-13 | 101-10 |106-150 |105-045 |107-010 |105-235 |
L: 101-07 | 100-00 |105-170 |104-055 |106-120 |105-025 |
95% H: 103-00 | 101-31 |106-295 |105-205 |107-120 |106-020 |
L: 100-20 | 99-11 |105-025 |103-215 |106-010 |104-240 |
99% H: 103-19 | 102-20 |107-125 |106-040 |107-225 |106-125 |
L: 100-01 | 98-23 |104-195 |103-060 |105-225 |104-135 |
20Days +1 Std Dev: N/A | 2-31 | N/A | 2-070 | N/A | 1-150 |
Out: -1 Std Dev: N/A | 2-28 | N/A | 2-055 | N/A | 1-145 |
To +1 Std Dev: 0-27 | 5-11 | 0-215 | 4-000 | 0-155 | 2-210 |
Expir- -1 Std Dev: 0-27 | 5-03 | 0-215 | 3-275 | 0-155 | 2-190 |
ation 68% H: 102-21 | 106-00 |106-215 |108-210 |107-060 |108-020 |
L: 100-31 | 95-18 |105-105 |100-255 |106-070 |102-260 |
95% H: 103-17 | 111-12 |107-110 |112-215 |107-215 |110-235 |
L: 100-04 | 90-16 |104-215 | 96-300 |105-235 |100-070 |
99% H: 104-12 | 116-23 |108-000 |116-215 |108-050 |113-125 |
L: 99-08 | 85-13 |104-000 | 93-025 |105-085 | 97-200 |
Notes: Shows probability of closing within price range based on
implied volatility on sub-annual basis. Call for charts & info.
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