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.
An asset class, product and date
The current ATM implied volatilities (blue bars) and forward ATM implied volatilities (orange bars) for each options contract
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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