VOLATILITY SUMMARY - STOCK INDEXES
As of: 052202 : SPM02 | SPU02 | SPZ02 | DJM02 | DJU02 | DJZ02 |
Underlying Settle:1085.10s|1086.50s|1089.10s| 10152.s| 10155.s| 10170.s|
Change: +2.00 | +1.90 | +1.70 | +29. | +29. | +29. |
: | | | | | |
Implied Volatility 17.74s| 18.40s| 18.93s| 18.27s| 18.82s| 18.89s|
Change from Prev: -.61 | -.18 | +.23 | +.36 | +.60 | +.35 |
last 20Days High: 20.85 | 19.72 | 19.70 | 20.34 | 19.86 | 19.86 |
Avg: 18.63 | 18.67 | 18.81 | 18.55 | 18.89 | 19.07 |
Low: 17.00 | 17.74 | 17.92 | 17.12 | 17.86 | 18.30 |
last 60Days High: 20.85 | 20.10 | N/A | 20.38 | 20.46 | N/A |
Avg: 18.22 | 18.35 | N/A | 18.54 | 18.62 | N/A |
Low: 16.63 | 16.92 | N/A | 17.12 | 6.95 | N/A |
: | | | | | |
Historical 20 Day: 23.41% | 23.56% | 23.73% | 20.74% | 20.87% | 20.99% |
Volatility 30 Day: 22.37% | 22.51% | 22.61% | 19.89% | 19.99% | 20.07% |
50 Day: 18.66% | 18.75% | 18.83% | 17.34% | 17.41% | 17.46% |
100 Day: 18.44% | 18.60% | 18.76% | 18.20% | 18.78% | 18.90% |
200 Day: 20.11% | 20.45% | 20.52% | 21.29% | N/A | 21.83% |
Notes: Implied Volatility is interpolated for the at-the-money straddle.
VOLATILITY CHEAPNESS INDEX
Historical Volatility
Max : 21.2 | 14.4 | 14.2 | N/A | N/A | N/A |
Median : 9.6 | 9.8 | 9.8 | N/A | N/A | N/A |
Min : 4.6 | 6.8 | 7.0 | N/A | N/A | N/A |
Vol Cheapness Ind: 97.5 | 100.0 | 100.0 | N/A | N/A | N/A |
change : -1.5 | unch | unch | N/A | N/A | N/A |
Last 20 sess : | | | | | |
High : 100.0 | 100.0 | 100.0 | N/A | N/A | N/A |
Avg : 99.0 | 100.0 | 100.0 | N/A | N/A | N/A |
Low : 97.5 | 100.0 | 100.0 | N/A | N/A | N/A |
Last 60 sess : | | | | | |
High : 100.0 | 100.0 | 100.0 | N/A | N/A | N/A |
Avg : 99.7 | 100.0 | 100.0 | N/A | N/A | N/A |
Low : 97.5 | 100.0 | 100.0 | N/A | N/A | N/A |
Days to Expiration 29 | 120 | 211 | 29 | 120 | 211 |
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: 12.20 | 12.70 | 13.10 | 117. | 121. | 121. |
-1 Std Dev: 12.10 | 12.50 | 12.90 | 116. | 119. | 120. |
68% H:1097.30 |1099.20 |1102.20 | 10269. | 10276. | 10291. |
L:1073.00 |1074.00 |1076.20 | 10036. | 10035. | 10049. |
95% H:1109.50 |1111.80 |1115.20 | 10387. | 10397. | 10413. |
L:1061.00 |1061.40 |1063.30 | 9919. | 9915. | 9929. |
99% H:1121.70 |1124.50 |1128.30 | 10504. | 10518. | 10535. |
L:1048.90 |1048.90 |1050.40 | 9803. | 9796. | 9809. |
20Days +1 Std Dev: 55.60 | 57.80 | 59.70 | 536. | 553. | 556. |
Out: -1 Std Dev: 52.90 | 54.90 | 56.60 | 509. | 524. | 527. |
To +1 Std Dev: 55.60 | 120.90 | 168.60 | 536. | 1157. | 1570. |
Expir- -1 Std Dev: 52.90 | 108.80 | 146.00 | 509. | 1039. | 1360. |
ation 68% H:1140.70 |1207.40 |1257.70 | 10688. | 11312. | 11740. |
L:1032.20 | 977.70 | 943.10 | 9642. | 9116. | 8809. |
95% H:1196.40 |1328.40 |1426.30 | 11225. | 12469. | 13311. |
L: 979.20 | 868.80 | 797.10 | 9132. | 8077. | 7449. |
99% H:1252.00 |1449.30 |1595.00 | 11762. | 13626. | 14882. |
L: 926.30 | 760.00 | 651.10 | 8623. | 7038. | 6088. |
Notes: Shows probability of closing within price range based on
implied volatility on sub-annual basis. Call for charts & info.