Website charts: https://www.mrci.com/client/options MRCI's Implied Volatility Data as of Friday April 19, 2024 /==================================================================================\ | Contract | IV | HV | +1SD | CTHV | -1SD |IV+-% |D2EX| |==============================|=======|=======|=======|=======|=======|======|====| |Jun24 Japanese Yen(CME) | 45.63| 4.57| 13.06| 9.39| 5.72| +386%| 49| |Dec24 London Cocoa(LCE) | 67.15| -1.00| 26.62| 17.89| 9.15| +275%| 224| |Sep24 London Cocoa(LCE) | 71.51| -1.00| 27.82| 19.16| 10.50| +273%| 133| |Jul24 London Cocoa(LCE) | 67.62| -1.00| 29.73| 20.88| 12.02| +223%| 70| |Sep24 Cocoa(ICE) | 67.53| 67.15| 33.67| 23.98| 14.29| +181%| 105| |Dec24 Cocoa(ICE) | 62.68| 68.89| 32.20| 22.78| 13.36| +175%| 196| |Jul24 Cocoa(ICE) | 68.49| 64.60| 34.88| 24.94| 15.01| +174%| 49| |May24 London Cocoa(LCE) | 57.85| 332.65| 31.84| 22.85| 13.85| +153%| 11| |Sep24 Class III Milk(CME) | 21.57| 8.67| 20.16| 12.50| 4.84| +72%| 165| |Jul24 Coffee "C"(ICE) | 48.06| 34.37| 39.66| 29.66| 19.66| +62%| 55| |Oct24 Cotton(ICE) | 32.18| 20.59| 28.95| 20.84| 12.72| +54%| 147| |Aug24 Class III Milk(CME) | 22.41| 11.86| 23.43| 14.70| 5.98| +52%| 137| |Sep24 Coffee "C"(ICE) | 43.47| 33.64| 38.78| 28.87| 18.95| +50%| 112| |Dec24 Coffee "C"(ICE) | 41.05| 32.87| 37.77| 27.95| 18.14| +46%| 203| |Jan25 Soybean Oil(CBOT) | 28.09| 21.76| 26.50| 19.64| 12.78| +43%| 252| |Oct24 Soybean Oil(CBOT) | 28.86| 22.54| 27.64| 20.32| 12.99| +42%| 154| |May24 Natural Gas(NYM) | 61.47| 46.03| 61.62| 43.00| 24.38| +42%| 6| |Dec24 Soybean Oil(CBOT) | 28.33| 22.21| 27.06| 19.97| 12.88| +41%| 217| |Sep24 Soybean Oil(CBOT) | 28.83| 23.15| 28.48| 20.72| 12.96| +39%| 126| |Jun24 Natural Gas(NYM) | 55.19| 35.84| 56.95| 40.24| 23.52| +37%| 39| |Jun24 10-Year T-Notes(CBOT) | 6.98| 7.72| 6.84| 5.11| 3.38| +36%| 35| |Aug24 Soybean Oil(CBOT) | 28.61| 23.82| 29.47| 21.19| 12.91| +35%| 98| |Sep24 Natural Gas(NYM) | 47.63| 26.42| 50.04| 35.16| 20.29| +35%| 130| |Oct24 Natural Gas(NYM) | 45.89| 24.37| 48.41| 33.87| 19.33| +35%| 159| |Sep24 10-Year T-Notes(CBOT) | 6.95| 7.89| 6.96| 5.25| 3.53| +32%| 126| |Aug24 Natural Gas(NYM) | 47.54| 26.90| 50.81| 35.94| 21.07| +32%| 98| |Sep24 30-Year T-Bonds(CBOT) | 12.76| 14.06| 12.63| 9.72| 6.81| +31%| 126| |Jun24 30-Year T-Bonds(CBOT) | 12.50| 14.05| 12.31| 9.56| 6.82| +30%| 35| |Jul24 Natural Gas(NYM) | 48.91| 28.02| 52.54| 37.43| 22.31| +30%| 67| |May24 Soybean Oil(CBOT) | 28.25| 25.19| 31.39| 22.35| 13.32| +26%| 7| |Dec24 Copper(CMX) | 27.56| 19.33| 29.36| 21.78| 14.21| +26%| 220| |Jul24 Soybean Oil(CBOT) | 27.35| 24.61| 30.44| 21.76| 13.07| +25%| 63| |Jul24 Class III Milk(CME) | 23.11| 20.21| 28.63| 18.42| 8.20| +25%| 102| |Sep24 Corn(CBOT) | 27.52| 19.41| 28.48| 22.32| 16.16| +23%| 126| |Oct24 Soybean Meal(CBOT) | 21.92| 15.31| 24.06| 18.00| 11.93| +21%| 154| |Sep24 Copper(CMX) | 26.64| 19.79| 29.75| 22.09| 14.42| +20%| 129| |Sep24 Soybeans(CBOT) | 19.67| 12.73| 22.15| 16.41| 10.68| +19%| 126| |Dec24 Soybean Meal(CBOT) | 21.25| 14.73| 23.95| 17.82| 11.70| +19%| 217| |Jan25 Soybean Meal(CBOT) | 20.50| 14.23| 23.30| 17.27| 11.24| +18%| 252| |Nov24 Soybeans(CBOT) | 18.94| 11.61| 21.93| 16.06| 10.19| +17%| 189| |Dec24 Corn(CBOT) | 24.67| 18.03| 26.07| 20.91| 15.75| +17%| 217| |Jul24 Copper(CMX) | 26.21| 20.22| 30.05| 22.32| 14.58| +17%| 67| |Jul24 Cotton(ICE) | 28.68| 23.55| 32.83| 24.73| 16.63| +15%| 56| |Aug24 Soybeans(CBOT) | 19.59| 13.94| 22.20| 17.25| 12.30| +13%| 98| |Jan25 Soybeans(CBOT) | 17.84| 11.20| 21.46| 15.68| 9.89| +13%| 252| |Sep24 Wheat(MGE) | 25.37| 15.12| 28.44| 22.32| 16.21| +13%| 126| |May24 Silver(CMX) | 33.14| 22.88| 43.02| 29.12| 15.23| +13%| 6| |Sep24 Wheat(CBOT) | 30.86| 20.20| 34.66| 27.43| 20.21| +12%| 126| |Jul24 Wheat(MGE) | 25.48| 16.51| 28.72| 22.90| 17.09| +11%| 63| |Oct24 RBOB Gasoline(NYM) | 33.26| 17.28| 46.11| 29.89| 13.67| +11%| 159| |Dec24 Wheat(CBOT) | 28.46| 17.69| 32.61| 25.80| 18.99| +10%| 217| |Sep24 Wheat(KCBT) | 31.83| 22.70| 35.16| 28.86| 22.55| +10%| 126| |Dec24 Cotton(ICE) | 20.58| 13.57| 27.85| 18.58| 9.31| +10%| 203| |Jun24 Class III Milk(CME) | 23.97| 28.44| 33.57| 21.96| 10.35| +9%| 74| |May24 Soybean Meal(CBOT) | 24.93| 19.22| 28.77| 22.89| 17.01| +8%| 7| |Jul24 Wheat(CBOT) | 30.99| 22.51| 36.61| 28.91| 21.20| +7%| 63| |Oct24 Sugar #11(ICE) | 25.39| 20.07| 32.69| 23.70| 14.72| +7%| 150| |Jan25 Orange Juice(ICE) | 27.60| 25.89| 37.43| 25.68| 13.94| +7%| 231| |May24 Wheat(KCBT) | 32.33| 25.79| 37.13| 30.47| 23.81| +6%| 7| |Jul24 Wheat(KCBT) | 31.84| 25.16| 36.43| 29.86| 23.29| +6%| 63| |Dec24 Wheat(KCBT) | 29.06| 20.85| 33.45| 27.26| 21.07| +6%| 217| |Dec24 London Sugar(LCE) | 19.31| 17.85| 24.33| 18.21| 12.09| +6%| 197| |Jun24 NASDAQ 100 E-Mini(CME) | 20.81| 16.80| 32.24| 19.81| 7.38| +5%| 63| |May24 Copper(CMX) | 23.92| 20.72| 30.18| 22.58| 14.97| +5%| 6| |Dec24 Wheat(MGE) | 22.44| 14.51| 27.78| 21.40| 15.02| +4%| 217| |Dec24 Lean Hogs(CME) | 23.37| 9.94| 34.43| 22.48| 10.53| +3%| 238| |Jul24 Sugar #11(ICE) | 28.13| 21.82| 38.82| 27.17| 15.51| +3%| 59| |Sep24 Orange Juice(ICE) | 28.38| 25.11| 39.68| 27.32| 14.95| +3%| 105| |Sep24 Orange Juice(ICE) | 28.38| 25.11| 39.68| 27.32| 14.95| +3%| 105| |Jul24 Soybean Meal(CBOT) | 22.31| 16.76| 27.20| 21.77| 16.33| +2%| 63| |May24 Wheat(CBOT) | 31.24| 23.41| 38.32| 30.40| 22.48| +2%| 7| |Sep24 RBOB Gasoline(NYM) | 30.14| 17.76| 46.60| 29.49| 12.39| +2%| 130| |Jul24 Orange Juice(ICE) | 30.18| 26.60| 41.34| 29.49| 17.64| +2%| 49| |Feb25 Live Cattle(CME) | 12.33| 17.28| 20.74| 12.20| 3.66| +1%| 294| |Oct24 Lean Hogs(CME) | 23.50| 12.37| 35.83| 23.24| 10.64| +1%| 178| |Jul24 Soybeans(CBOT) | 18.31| 14.84| 23.12| 18.12| 13.12| +1%| 63| |Dec24 Live Cattle(CME) | 12.94| 18.53| 21.86| 12.85| 3.83| +0%| 231| |Nov24 Feeder Cattle(CME) | 15.32| 18.67| 24.85| 15.34| 5.82| +0%| 216| |Aug24 Lean Hogs(CME) | 23.41| 17.86| 36.40| 23.19| 9.98| +0%| 117| |Jul24 Silver(CMX) | 28.89| 22.81| 43.16| 29.14| 15.12| +0%| 67| |May24 Wheat(MGE) | 23.17| 17.93| 28.73| 23.59| 18.46| -1%| 7| |Dec24 Silver(CMX) | 28.49| 22.81| 42.99| 29.00| 15.02| -1%| 220| |Aug24 RBOB Gasoline(NYM) | 30.22| 18.09| 50.81| 30.81| 10.81| -1%| 98| |Aug24 NY Harbor ULSD(NYM) | 27.99| 19.98| 43.56| 28.61| 13.66| -2%| 98| |Oct24 Feeder Cattle(CME) | 15.14| 19.44| 25.06| 15.77| 6.47| -3%| 195| |Sep24 Silver(CMX) | 28.05| 22.80| 43.03| 29.06| 15.09| -3%| 129| |Jul24 NY Harbor ULSD(NYM) | 28.37| 20.97| 46.08| 29.75| 13.43| -4%| 67| |Oct24 London Sugar(LCE) | 19.08| 19.05| 27.04| 20.06| 13.09| -4%| 135| |Oct24 Live Cattle(CME) | 13.51| 19.99| 23.75| 14.24| 4.72| -5%| 168| |Sep24 Feeder Cattle(CME) | 15.15| 20.01| 25.50| 16.16| 6.82| -6%| 160| |Jul24 Corn(CBOT) | 22.78| 19.98| 31.93| 24.29| 16.64| -6%| 63| |Dec24 Crude Oil(NYM) | 27.35| 15.11| 42.92| 29.18| 15.45| -6%| 210| |Jun24 NY Harbor ULSD(NYM) | 29.14| 22.07| 48.79| 31.01| 13.24| -6%| 39| |Aug24 Feeder Cattle(CME) | 15.38| 20.80| 26.49| 16.99| 7.48| -9%| 132| |Aug24 Live Cattle(CME) | 14.32| 20.77| 25.78| 15.93| 6.09| -10%| 105| |Jun24 S & P 500 E-Mini(CME) | 15.43| 11.97| 31.76| 17.29| 2.81| -10%| 63| |Sep24 S & P 500 E-Mini(CME) | 15.47| 11.95| 31.85| 17.36| 2.87| -10%| 154| |Nov24 Crude Oil(NYM) | 27.11| 15.71| 44.52| 30.14| 15.76| -10%| 181| |Jul24 Lean Hogs(CME) | 22.20| 21.12| 39.55| 25.15| 10.74| -11%| 84| |May24 Soybeans(CBOT) | 16.47| 15.33| 23.79| 18.54| 13.29| -11%| 7| |Jun24 Gold(CMX) | 16.17| 13.66| 28.93| 18.34| 7.76| -11%| 38| |May24 NY Harbor ULSD(NYM) | 28.71| 23.63| 51.46| 32.34| 13.22| -11%| 6| |Jul24 RBOB Gasoline(NYM) | 28.86| 18.40| 56.31| 32.45| 8.60| -11%| 67| |Oct24 Crude Oil(NYM) | 27.02| 16.33| 46.57| 31.29| 16.01| -13%| 151| |Aug24 Gold(CMX) | 15.58| 13.63| 28.88| 18.31| 7.74| -14%| 97| |Dec24 Gold(CMX) | 15.62| 13.59| 28.80| 18.24| 7.68| -14%| 220| |Aug24 London Sugar(LCE) | 18.81| 19.34| 30.44| 22.05| 13.67| -14%| 73| |Jun24 Live Cattle(CME) | 14.79| 18.96| 27.98| 17.49| 7.01| -15%| 49| |Jun24 Australian Dollar(CME) | 9.03| 10.55| 15.62| 10.65| 5.68| -15%| 49| |Sep24 Crude Oil(NYM) | 27.24| 17.08| 49.01| 32.57| 16.14| -16%| 118| |Sep24 Brent Crude Oil(ICE) | 25.70| 16.46| 47.30| 31.25| 15.21| -17%| 97| |Jun24 US Dollar Index(ICE) | 5.49| 6.03| 9.22| 6.77| 4.32| -18%| 49| |May24 Class III Milk(CME) | 19.39| 29.53| 36.51| 23.87| 11.23| -18%| 46| |May24 RBOB Gasoline(NYM) | 30.23| 19.92| 73.13| 37.47| 1.81| -19%| 6| |Aug24 Crude Oil(NYM) | 27.04| 17.80| 52.26| 34.16| 16.06| -20%| 89| |Jun24 British Pound(CME) | 6.89| 7.19| 12.33| 8.83| 5.33| -21%| 49| |Aug24 Brent Crude Oil(ICE) | 25.60| 17.11| 50.51| 32.72| 14.93| -21%| 66| |Jun24 EuroFX(CME) | 6.17| 6.72| 11.04| 7.97| 4.90| -22%| 49| |Jun24 RBOB Gasoline(NYM) | 26.82| 19.01| 63.26| 34.51| 5.77| -22%| 39| |May24 Feeder Cattle(CME) | 14.13| 21.01| 28.28| 18.50| 8.72| -23%| 41| |Jul24 Crude Oil(NYM) | 27.45| 18.60| 56.86| 36.12| 15.38| -23%| 59| |Jun24 Lean Hogs(CME) | 21.34| 23.88| 45.02| 28.09| 11.15| -24%| 56| |Jul24 Brent Crude Oil(ICE) | 25.27| 17.89| 54.93| 34.49| 14.04| -26%| 38| |May24 Corn(CBOT) | 18.01| 21.11| 32.93| 25.04| 17.15| -28%| 7| |Jun24 Brent Crude Oil(ICE) | 25.65| 18.74| 61.87| 36.83| 11.78| -30%| 5| |Jun24 Canadian Dollar(CME) | 5.32| 5.35| 11.14| 7.72| 4.31| -31%| 49| |Jun24 Crude Oil(NYM) | 26.70| 19.37| 70.38| 40.30| 10.23| -33%| 27| |May24 Lean Hogs(CME) | 16.56| 22.19| 52.86| 30.53| 8.19| -45%| 25| |Apr24 Class III Milk(CME) | 5.10| 10.48| 19.81| 13.68| 7.56| -62%| 11| |Apr24 Feeder Cattle(CME) | 5.61| 18.38| 27.10| 17.11| 7.12| -67%| 6| \==================================================================================/ Implied Volatility Description (IV) Current daily level of Implied Volatility (IV) for options on this futures contract, as derived from (implied by) options premiums (Black Model). Historical Volatility Description (HV) Current daily level of 20-day Historical Volatility (HV) for this futures contract, as calculated from futures price movement. Central Tendency Description (CTHV) Current daily level of the Central Tendency of Historical Volatility (CTHV), the 15-year average of 20-day historical volatility (of futures prices). Thus, CTHV is the historical reference against which to compare IV and HV. CTHV is also used to calculate +1 and -1 STD (Standard Deviation), between which HV has theoretically been found 67% of the time. Implied Volatility Over/Under Percentage Description (IV+-%) The percentage the current Implied Volatility (IV) is above or below the Central Tendency (CTHV). Days to Expiration Description (D2Ex) Conveniently enumerates how many days until options on that futures contract expires. If you have any questions, please just let us know. Best Regards, The MRCI Team 541-525-0521 or Skype mel.a.moore Website: http://www.mrci.com Twitter: https://twitter.com/MooreResearch Facebook: http://www.facebook.com/mooreresearchcenter Copyright (c) 1989-2024 Moore Research Center, Inc. Redistributing this email in ANY form or sharing your website access codes without written authorization from Moore Research Center, Inc., violates both our copyright and the rights of our paid subscribers. Violators will lose access and all other subscription rights --- WITHOUT REFUND.