VOLATILITY SUMMARY - IMM EURODOLLARS
As of: 052202 : EDM02 | EDU02 | EDZ02 | EDH03 | EDM03 | EDU03 |
Underlying Settle:98.0430s|97.6500s|97.0400s|96.4450s|95.8800s|95.4550s|
Change: +.0160 | +.0350 | +.0550 | +.0600 | +.0550 | +.0500 |
: | | | | | |
Implied Volatility 22.02s| 35.68s| 36.79s| 33.94s| 30.02s| 27.19s|
Change from Prev: +.72 | +.77 | +1.10 | +1.17 | +.34 | +.46 |
last 20Days High: 22.02 | 35.68 | 36.79 | 33.94 | 30.02 | 27.19 |
Avg: 19.89 | 33.08 | 33.87 | 31.14 | 28.35 | 25.75 |
Low: 17.32 | 30.32 | 31.63 | 28.86 | 26.25 | 24.06 |
last 60Days High: 33.05 | 36.70 | 36.79 | 33.94 | 30.02 | 27.84 |
Avg: 25.38 | 33.40 | 32.97 | 30.03 | 27.32 | 25.14 |
Low: 17.32 | 30.32 | 30.13 | 26.98 | 24.97 | 23.38 |
: | | | | | |
Historical 20 Day: 21.15% | 51.01% | 52.52% | 44.75% | 35.12% | 29.65% |
Volatility 30 Day: 19.44% | 43.88% | 44.92% | 38.26% | 30.24% | 25.50% |
50 Day: 22.74% | 40.61% | 40.92% | 34.99% | 28.24% | 24.84% |
100 Day: 36.19% | 46.44% | 44.03% | 39.51% | 33.17% | 28.87% |
200 Day: 44.41% | 48.64% | 44.60% | 39.81% | 34.21% | 30.43% |
Notes: Implied Volatility is interpolated for the at-the-money straddle.
VOLATILITY CHEAPNESS INDEX
Historical Volatilty
Max : 41.5 | 31.2 | 26.7 | 24.7 | 24.1 | 22.5 |
Median : 12.3 | 12.4 | 12.5 | 13.0 | 13.9 | 14.0 |
Min : 2.5 | 5.4 | 6.0 | 7.1 | 7.9 | 8.9 |
Vol Cheapness Ind: 88.2 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 |
change : +.9 | unch | unch | unch | unch | unch |
Last 20 sess : | | | | | |
High : 88.2 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 |
Avg : 79.1 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 |
Low : 73.6 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 |
Last 60 sess : | | | | | |
High : 96.5 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 |
Avg : 88.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 |
Low : 73.6 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 |
Days to Expiration 26 | 117 | 208 | 299 | 390 | 481 |
Notes: VCI ranks implied vol on a percentile basis (100 max, 0 min)
against historical vol for given days to expiration.
SIGMA BOUNDARY
Today: +1 Std Dev: .0270 | .0520 | .0680 | .0750 | .0770 | .0770 |
-1 Std Dev: .0270 | .0530 | .0690 | .0770 | .0790 | .0790 |
68% H:98.0690 |97.7020 |97.1080 |96.5200 |95.9570 |95.5320 |
L:98.0150 |97.5970 |96.9710 |96.3680 |95.8010 |95.3760 |
95% H:98.0960 |97.7540 |97.1760 |96.5950 |96.0340 |95.6090 |
L:97.9880 |97.5430 |96.9010 |96.2910 |95.7230 |95.2980 |
99% H:98.1230 |97.8070 |97.2430 |96.6710 |96.1120 |95.6870 |
L:97.9600 |97.4900 |96.8320 |96.2140 |95.6440 |95.2190 |
20Days +1 Std Dev: .1180 | .2250 | .2910 | .3240 | .3340 | .3350 |
Out: -1 Std Dev: .1250 | .2480 | .3230 | .3570 | .3640 | .3620 |
To +1 Std Dev: .1120 | .4300 | .7180 | .9400 | 1.0990 | 1.2180 |
Expir- -1 Std Dev: .1190 | .5260 | .9480 | 1.2790 | 1.4990 | 1.6650 |
ation 68% H:98.1540 |98.0800 |97.7580 |97.3850 |96.9790 |96.6730 |
L:97.9240 |97.1240 |96.0920 |95.1660 |94.3810 |93.7900 |
95% H:98.2660 |98.5100 |98.4760 |98.3260 |98.0780 |97.8920 |
L:97.8050 |96.5980 |95.1450 |93.8880 |92.8820 |92.1250 |
99% H:98.3780 |98.9390 |99.1930 |99.2660 |99.1770 |99.1100 |
L:97.6870 |96.0720 |94.1970 |92.6090 |91.3830 |90.4600 |
Notes: Shows probability of closing within price range based on
implied volatility on sub-annual basis. Call for charts & info