Event Volatility Calculator

See how markets price upcoming economic and geopolitical events through the lens of options on futures forward volatility.

The term structure of volatility for a specific product is the market consensus estimate of future realized volatility for each given option expiration period. Variations in this term structure can imply moves in the underlying futures contract being priced in due to an upcoming event.

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An asset class, product and date

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The current ATM implied volatilities (blue bars) and forward ATM implied volatilities (orange bars) for each options contract

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The implied one-day move up or down in the futures price based on the respective term and forward volatilities for the given event

    

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*Disclaimer: The data and output from this tool does not constitute investment advice and is not a personal recommendation from CME Group.  Nothing contained herein constitutes the solicitation of the purchase or sale of any futures or options.  Any investment activities undertaken using this tool will be at the sole risk of the relevant investor.  CME Group expressly disclaims all liability for the use or interpretation (whether by visitor or by others) of information contained herein. Decisions based on this information are the sole responsibility of the relevant investor.  Any visitor to this page agrees to hold the CME Group and its affiliates and licensors harmless against any claims for damages arising from any decisions that the visitor makes based on such information.