Repeating what we said earlier, “buy low/ sell high” pertains to an option’s implied volatility too. The crux of these tables is to help the trader to buy in the lower percentile rankings and sell options premium in higher percentile environments. Volatility percentile rankings can help the trader align the correct strategy for the correct volatility environment.
In the pages that follow, we have provided the volatility percentile rankings for many of the CME Group’s core products. The data is recent and ends with the three-year period ending October 16, 2019.
Figure 3
| Equity Implied Volatlity Percentile Rankings--3 yrs ending 10/16/19 | ||||
| ES | NQ | R2K | YM | |
| High | 31.64 | 35.46 | 34.32 | 31.86 |
| 90th percentile | 17.29 | 22.89 | 21.44 | 18.15 |
| 75th percentile | 13.79 | 18.34 | 18.1 | 14.75 |
| 50th percentile | 10.56 | 15.01 | 14.78 | 11.3 |
| 25th percentile | 8.81 | 12.79 | 12.76 | 9.3 |
| 10th percentile | 7.59 | 11.2 | 11.69 | 8.28 |
| Low | 6.5 | 8.73 | 7.62 | 6.75 |
Figure 4
| Interest Rate Implied Volatlity Percentile Rankings --3 yrs ending 10/16/19 | ||||
| US | TY | FV | ED | |
| High | 13.69 | 6.81 | 4.22 | 81.65 |
| 90th percentile | 10.07 | 5.17 | 3.43 | 51.11 |
| 75th percentile | 8.65 | 4.55 | 3 | 34.61 |
| 50th percentile | 7.48 | 3.94 | 2.51 | 27.3 |
| 25th percentile | 6.87 | 3.57 | 2.24 | 22.08 |
| 10th percentile | 6.28 | 3.36 | 2.19 | 18.02 |
| Low | 5.46 | 2.99 | 1.91 | 8.78 |
Figure 5
| Currency Implied Volatility Percentile Rankings 3 yrs ending 10/16/19 | |||||
| EUR | JPY | GBP | CD | AUD | |
| High | 14.43 | 14.56 | 15.18 | 10.15 | 11.48 |
| 90th percentile | 9.03 | 11.14 | 11.43 | 8.38 | 9.61 |
| 75th percentile | 7.94 | 9.01 | 10.01 | 7.71 | 9 |
| 50th percentile | 7.08 | 7.66 | 8.46 | 7.05 | 8.31 |
| 25th percentile | 5.99 | 6.64 | 7.47 | 6.27 | 7.6 |
| 10th percentile | 5.41 | 6.08 | 6.79 | 5.38 | 7.13 |
| Low | 4.47 | 4.6 | 5.27 | 4.67 | 5.8 |
Figure 6
| Commodity implied Volatility Percentile rankings 3 yrs ending 10/1/19 | |||||||
| Cl | NG | Gold | SI | C | SB | LC | |
| High | 64.74 | 125.07 | 19.31 | 29.84 | 43.04 | 28.04 | 31.85 |
| 90th percentile | 38.41 | 53.07 | 14.02 | 23.1 | 29.12 | 21.48 | 22.94 |
| 75th percentile | 31.08 | 43.15 | 12.11 | 19.55 | 21.73 | 18.32 | 21.17 |
| 50th percentile | 29.9 | 35.14 | 10.12 | 17.32 | 18.24 | 16.36 | 18.43 |
| 25th percentile | 24.35 | 24.31 | 9.2 | 16.16 | 15.29 | 14.28 | 15.49 |
| 10th percentile | 22.63 | 21.49 | 8.64 | 14.53 | 13.17 | 12.09 | 13.5 |
| Low | 15.74 | 19.17 | 7.49 | 12.89 | 9.82 | 9.77 | 10.86 |
Read More
Pricing, Volatility & Strategy Tools
Calculate fair value prices and Greeks on CME Group options, chart volatility and correlations, and test strategies in simulated markets
All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.
