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Volatility Monitor Update
Thu Apr 05 11:21:00 CDT 2012 CT
Related Keywords: Market Fundamentals
Related Keywords: Market Fundamentals
Quarterly Report on Price Volatility of Commodities, FX, Equity Indexes and Interest
Each quarter, CME Group Research analyzes price volatility for the previous three months across key asset classes and presents it in the Volatility Monitor Update. The purpose of the update is to provide a solid understanding of volatility as one of the prime drivers of options premiums.
The volatility update includes a discussion of:
- What volatility is
- The difference between historic and implied volatility
- How to calculate volatility
The update provides volatility data on the following:
- Major currencies: euro, British pound, Australian dollar, Japanese yen, Swiss franc, Canadian dollar
- Grains
- Precious metals
- Energy products
- Livestock
- Benchmark stock Indexes
Comparative historical graphs depict the volatility in each of these groups, along with short commentary. There are also two charts of historical volatilities, one over a 1-year window, and the other over a 3-year window.
The update here is the most recent publication. For comparison purposes, find earlier editions in the Featured Information box.
Featured Information
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