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Historical Volatility
Eurodollar Historical Volatility
|
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Yearly |
|
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | 51.7 | 58.3 | 66.5 | 66.6 | 72.8 | 75.3 | 66.5 | 67.0 | 64.2 | 62.9 |
65.2 |
||
| 2004 | 60.9 | 61.3 | 55.9 | 55.6 | 55.6 | 56.0 | 53.8 | 51.9 | 43.9 | 43.8 | 40.5 | 29.9 |
50.8 |
| 2005 | 28.1 | 24.6 | 19.6 | 21.6 | 24.3 | 23.1 | 21.0 | 17.3 | 19.6 | 19.6 | 16.3 | 13.9 |
20.8 |
| 2006 | 14.2 | 12.1 | 11.7 | 14.4 | 15.6 | 12.9 | 12.7 | 12.9 | 12.0 | 13.4 | 16.0 | 16.9 |
13.7 |
| 2007 | 16.0 | 13.1 | 15.1 | 17.2 | 15.3 | 10.4 | 11.1 | 18.6 | 28.2 | 30.0 | 28.8 | 29.7 |
19.5 |
| 2008 | 39.7 | 55.0 | 70.8 | 64.9 | 52.2 |
56.5 |
|||||||
| Mean | 31.8 | 33.2 | 37.5 | 38.6 | 38.4 | 33.8 | 34.3 | 35.2 | 34.0 | 34.8 | 33.2 | 30.7 |
|
| High | 60.9 | 61.3 | 70.8 | 64.9 | 66.5 | 66.6 | 72.8 | 75.3 | 66.5 | 67.0 | 64.2 | 62.9 | |
| Low | 14.2 | 12.1 | 11.7 | 14.4 | 15.3 | 10.4 | 11.1 | 12.9 | 12.0 | 13.4 | 16.0 | 13.9 |
