Futures and Options Volatility Analysis: Historical and Implied Side by Side
When analyzing Options Markets it is important to understand the movement of the underlying futures contract in comparison to the Implied Volatility in the market. While Historical Volatility is not a predictor of Future Market Volatility, it does give an accurate depiction of how the market has been moving. The Table below makes sense out of the Historical and Implied Volatility picture. Always keep in mind that the Implied Volatility is the market’s evaluation of future volatility but neither Historical nor Implied Volatility accurately predicts the market volatility in the future. Use the Table below to assist you with your analysis. By procuring a clear opinion of Volatility one can more easily design options positions to meet their risk/reward parameters.
At Options Strategy Network we work with traders to see Options Trading in a different light. Our Volatility Analysis is just one of the many bits of information that we feel are essential for understanding the dynamics of markets. Review our Options Traders’ Essential Outline and find the Topics you could benefit from understanding better, and then contact us to set up a Personalized Options Training Session. Make an investment in Options Trading Education.
| Sym | 10-D His | 20-D His | 30-D His | 60-D His | 90-D His | Imp Vol | IMP-30D | 10Day>30 | 20-Day>30 | Avg. His. |
| KC | 25.53 | 25.45 | 25.24 | 26.55 | 26.29 | 36.69 | 11.45 | 0.29 | 0.21 | 25.81 |
| SB | 41.89 | 39.95 | 42.09 | 38.13 | 36.92 | 44.55 | 2.46 | -0.20 | -2.14 | 39.80 |
| CC | 22.63 | 19.41 | 22.63 | 22.56 | 24.24 | 27.34 | 4.71 | -0.01 | -3.22 | 22.30 |
| CT | 36.28 | 39.98 | 44.28 | 40.10 | 40.35 | 39.98 | -4.30 | -7.99 | -4.30 | 40.20 |
| OJ | 44.97 | 42.01 | 36.53 | 30.06 | 26.61 | 33.92 | -2.61 | 8.44 | 5.48 | 36.03 |
| DX | 7.62 | 10.09 | 9.43 | 9.94 | 9.64 | 10.43 | 1.00 | -1.81 | 0.66 | 9.34 |
| CL | 49.74 | 46.79 | 40.84 | 35.33 | 36.96 | 46.64 | 5.80 | 8.91 | 5.96 | 41.93 |
| HO | 27.67 | 31.77 | 26.83 | 29.18 | 30.74 | 34.50 | 7.67 | 0.85 | 4.95 | 29.24 |
| RB | 31.43 | 39.57 | 33.26 | 33.11 | 34.09 | 37.45 | 4.19 | -1.83 | 6.31 | 34.29 |
| NG | 23.99 | 23.20 | 24.40 | 28.51 | 29.99 | 35.92 | 11.52 | -0.40 | -1.20 | 26.02 |
| GC | 20.58 | 20.43 | 17.74 | 16.17 | 15.48 | 27.82 | 10.08 | 2.84 | 2.69 | 18.08 |
| SI | 37.50 | 42.54 | 42.01 | 39.60 | 48.47 | 50.00 | 7.99 | -4.51 | 0.52 | 42.03 |
| S | 15.25 | 18.03 | 15.92 | 15.20 | 15.95 | 22.04 | 6.12 | -0.66 | 2.11 | 16.07 |
| SM | 18.54 | 20.86 | 18.65 | 18.42 | 18.58 | 19.85 | 1.20 | -0.11 | 2.21 | 19.01 |
| C | 22.60 | 29.55 | 29.08 | 35.05 | 34.82 | 32.17 | 3.09 | -6.49 | 0.47 | 30.22 |
| W | 26.39 | 39.25 | 41.20 | 42.52 | 41.76 | 42.72 | 1.52 | -14.80 | -1.95 | 38.22 |
| LC | 18.24 | 14.94 | 14.36 | 16.12 | 15.28 | 16.91 | 2.55 | 3.88 | 0.58 | 15.79 |
| LH | 24.97 | 19.45 | 19.62 | 20.21 | 19.27 | 24.79 | 5.16 | 5.35 | -0.17 | 20.70 |
| SP | 38.69 | 45.38 | 38.22 | 29.38 | 24.88 | 38.19 | -0.03 | 0.47 | 7.17 | 35.31 |
| EU | 9.56 | 11.31 | 10.49 | 11.69 | 11.80 | 13.35 | 2.85 | -0.94 | 0.82 | 10.97 |
FUTURES AND OPTIONS TRADING INVOLVES SIGNIFICANT RISK AND IS NOT SUITABLE FOR EVERY INVESTOR. THE INFORMATION IS OBTAINED FROM SOURCES BELIEVED TO BE RELIABLE, BUT IS IN NO WAY GUARANTEED. PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS.
