A Different Look At Implied Volatility

By Craig Bewick
JUN 02 2021

US Equities were little changed again on another fairly quiet day in the financial markets.  US Treasuries were also little changed, as was the US Dollar versus most major currencies.  CME Group commodity markets were a bit more active as Grains futures prices were mixed, Live Cattle futures prices were up by about 2.5% and the price of WTI Crude Oil was up another 1.5% to a recent high approaching $69 per barrel. 

In light of the relatively quiet trading, we wanted to take a look at where implied volatility in some of CME Group’s major products is currently trading relative to this time of year since 2015.  In the past, we’ve tried to display different QuikStrike graphs depicting this, but, because of graphics constraints, the images have been difficult to decipher.  Today, we’ve used historical QuikStrike data to put together the chart below that shows current implied volatility versus the highest, lowest and average levels in the years since 2015.  We’ve also shaded the level for each product that most closely aligns with where implied volatility is currently trading.  For example, July Corn implied volatility is currently as high as its been with 23 days until expiration as it has been in any year since 2015 so we shaded the “High” column. We hope this new way to look at implied volatility provides a concise picture of current vol levels versus the last several years. 

ABOUT THE AUTHOR

Craig Bewick has spent 25 years in futures and options markets, starting at CBOT and CME working in risk management, regulatory, technology, product management and client development. 

Connect with Craig at activetrader@cmegroup.com

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