VOLATILITY SUMMARY - CURRENCY FUTURES
As of: 052202 : JYM02 | ECM02 | SFM02 | BPM02 | CDM02 | |
Underlying Settle: .8062s| .92520s| .6377s| 1.4566s| .6518s| |
Change: -.0020 |+.00620 | +.0032 | -.0008 | +.0022 | |
: | | | | | |
Implied Volatility 10.44s| 9.18s| 10.76s| 5.60s| 6.00s| |
Change from Prev: -.03 | +.59 | +.64 | -.40 | +.11 | |
last 20Days High: 10.47 | 9.43 | 10.76 | 6.25 | 6.00 | |
Avg: 8.72 | 8.63 | 9.54 | 5.74 | 5.64 | |
Low: 8.19 | 7.43 | 8.16 | 5.34 | 5.47 | |
last 60Days High: 10.96 | 9.43 | 10.76 | 6.64 | 6.25 | |
Avg: 9.42 | 8.48 | 9.16 | 6.00 | 5.85 | |
Low: 8.19 | 7.43 | 8.16 | 5.34 | 5.47 | |
: | | | | | |
Historical 20 Day: 10.63% | 10.45% | 10.85% | 5.61% | 3.92% | |
Volatility 30 Day: 9.56% | 9.03% | 9.37% | 4.81% | 3.60% | |
50 Day: 9.34% | 8.23% | 8.99% | 4.77% | 4.71% | |
100 Day: 10.75% | 8.58% | 9.03% | 5.62% | 4.98% | |
200 Day: 9.86% | 9.38% | 10.29% | 7.36% | 5.05% | |
Notes: Implied Volatility is interpolated for the at-the-money straddle.
VOLATILITY CHEAPNESS INDEX
Historical Volatility
Max : 27.5 | N/A | 29.0 | 30.5 | 11.7 | |
Median : 8.9 | N/A | 11.1 | 8.8 | 4.4 | |
Min : 3.2 | N/A | 3.8 | 2.7 | 1.4 | |
Vol Cheapness Ind: 64.7 | N/A | 47.2 | 20.7 | 83.8 | |
change : -.1 | N/A | +6.9 | -3.0 | +1.0 | |
Last 20 sess : | | | | | |
High : 64.8 | N/A | 47.2 | 23.7 | 83.8 | |
Avg : 47.1 | N/A | 35.1 | 18.1 | 78.4 | |
Low : 37.8 | N/A | 28.1 | 13.8 | 74.2 | |
Last 60 sess : | | | | | |
High : 64.8 | N/A | 47.2 | 23.7 | 88.7 | |
Avg : 44.5 | N/A | 22.6 | 13.2 | 82.7 | |
Low : 32.4 | N/A | 13.1 | 7.4 | 74.2 | |
Days to Expiration 16 | 16 | 16 | 16 | 16 | |
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: .0053 | .00537 | .0043 | .0052 | .0024 | |
-1 Std Dev: .0053 | .00534 | .0043 | .0052 | .0024 | |
68% H: .8115 | .93057 | .6420 | 1.4618 | .6542 | |
L: .8009 | .91986 | .6334 | 1.4514 | .6493 | |
95% H: .8168 | .93594 | .6463 | 1.4668 | .6567 | |
L: .7956 | .91452 | .6291 | 1.4464 | .6469 | |
99% H: .8221 | .94131 | .6507 | 1.4720 | .6592 | |
L: .7903 | .90918 | .6248 | 1.4412 | .6444 | |
20Days +1 Std Dev: N/A | N/A | N/A | N/A | N/A | |
Out: -1 Std Dev: N/A | N/A | N/A | N/A | N/A | |
To +1 Std Dev: .0178 | .01797 | .0145 | .0172 | .0082 | |
Expir- -1 Std Dev: .0174 | .01762 | .0142 | .0170 | .0081 | |
ation 68% H: .8240 | .94317 | .6522 | 1.4738 | .6600 | |
L: .7887 | .90757 | .6235 | 1.4396 | .6436 | |
95% H: .8418 | .96114 | .6667 | 1.4910 | .6683 | |
L: .7713 | .88994 | .6093 | 1.4226 | .6355 | |
99% H: .8597 | .97911 | .6813 | 1.5082 | .6765 | |
L: .7539 | .87232 | .5951 | 1.4056 | .6274 | |
Notes: Shows probability of closing within price range based on
implied volatility on sub-annual basis. Call for charts & info.