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Introduction to CVOL

Course overview

Implied volatility is valuable input for trading and risk management systems and strategies. CVOL indexes measure the expected risk or volatility of the underlying futures, based on the information contained in the prices of options on those underlying futures. 

Using a proprietary simple variance methodology that assigns equal weighting to option prices at strikes across the entire implied volatility curve, the CVOL Index produces a more representative measure of the market’s expectation of forward risk. Gain an understanding of how the CVOL Index works including skew, up variance, and down variance.