CME Group » FX » Realized FX Volatilities
FX Realized Volatility Indexes

Realized volatility is a measure of actual price volatility, based on past prices over a given time period. It is sometimes called historical volatility or historical deviation.  Realized volatility stands in contrast to implied volatility, which is based on expectations of future price movement.

Options traders use both types of measures in creating options trading strategies.

Realized volatility can be calculated and expressed in different ways. CME Group is offering realized volatility expressed in terms of indexes. These indexes are based on daily settlement prices from the six most popular quarterly FX futures contracts: EUR/USD, GBP/USD, CAD/USD, JPY/USD, CHF/USD and AUD/USD.

The table and links below represent CME Group FX Realized Volatility Indexes based on the 2:00 p.m. front month FX futures fixing price – settlement price each day.

 

*Realized Volatility Reference indexes reflect daily front month futures price contributions over the current fixed accumulation period. Therefore, early in the calculation period, the Realized Volatility calculations are based upon fewer contributed prices and may diverge significantly from historical volatilities.

**Historical volatility is based on a continuous daily calculation using 2:00 p.m. fixing prices of front month futures contracts.

 

2011 Accumulation Period Specification Table

 

Start Day

End Day

Quarterly Calculation Period

Mar 2011 Quarterly

12/6/2011

3/4/2011

Jun 2011 Quarterly

3/7/2011

6/3/2011

Sep 2011 Quarterly

6/6/2011

9/9/2011

Dec 2011 Quarterly

9/12/2011

12/9/2011

Monthly Calculation Period

Jan 2011 Monthly

12/6/2010

1/7/2011

Feb 2011 Monthly

1/10/2011

2/4/2011

Mar 2011 Monthly

2/7/2011

3/4/2011

Apr 2011 Monthly

3/7/2011

4/8/2011

May 2011 Monthly

4/11/2011

5/6/2011

Jun 2011 Monthly

5/9/2011

6/3/2011

July2011 Monthly

6/6/2011

7/8/2011

Aug 2011 Monthly

7/11/2011

8/5/2011

Sep 2011 Monthly

8/8/2011

9/9/2011

Oct 2011 Monthly

9/12/2011

10/7/2011

Nov 2011 Monthly

10/10/2011***

11/4/2011

Dec 2011 Monthly

11/7/2011

12/9/2011

***Monday, October 10, 2011 is a trade date for FX trading on CME Globex even though the Chicago FX trading floor is closed for observance of the Columbus Day holiday. Therefore, for purposes of determining the calculation period for the FX Realized Volatility futures, Monday, October 10, 2011 is considered a business day.