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Historical Volatility
Eurodollar Historical Volatility

 

 

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     

72.4

Mean  47.7 44.9  43.8 40.3 40.2 38.0  37.5 34.6  37.3 44.3 39.8  47.5

 

High  125.6  103.2 82.1  64.9  66.5  66.6  72.8  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