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Historical Volatility
Eurodollar Historical Volatility
 
Historical volatility data is no longer available on this page. Historical volatility data is available in our End-of-Day product in CME Datamine

*Eurodollar historical volatility is based on the yield, not the futures price.

 

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Yearly
Average
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 30.8 20.5 16.2  32.4 69.3 72.7 131.8 

54.7
2009 125.6 103.2 82.1  50.3  51.5  66.1  70.6  49.8  58.3  66.7  59.4  58.6 

70.2
2010 61.4 57.2 43.2 54.4 106.4 128.2 108.3 51.8 46.1 46.2 47.0 60.9 67.6
2011 58.4 38.3 23.5 27.7 27.7 -- -- -- -- -- -- -- 35.1
Mean 50.5 45.6  41.5 40.5 46.5 49.3  46.3 36.7  38.4 44.5 43.1  50.6

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High  125.6  103.2 82.1  64.9 106.4 128.2  108.3  75.3  66.5 69.3 72.7 131.8 --
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 --