Black-Scholes Implied Volatility for Futures Options
The Black-Scholes model is one of the most widely used methods for calculating implied volatility in options markets. MRCI uses Black-Scholes implied volatility in its Futures Volatility Research to help traders compare current option volatility with historical norms and identify unusual market conditions.
What is implied volatility?
Implied volatility (IV) measures the market's expectation of future price movement. Higher implied volatility generally indicates traders expect larger price swings.
What is historical volatility?
Historical volatility measures how much futures prices have actually moved over a specified period.
What is the Black-Scholes model?
The Black-Scholes model is an option pricing formula used to estimate theoretical option values and implied volatility.
MRCI Volatility Research Overview
Learn More About the Black-Scholes Model
MRCI’s Volatility Research consists of four items which place a market’s volatility into historical perspective. The table containing each contract evaluated consists of the most recent implied and historical volatility values, the values for the central tendency (average) of historical volatility, and ±1 standard deviation, the change in implied volatility from the previous day, and how many days it is to option expiration. Additionally there are links to daily, weekly continuation and monthly continuation volatility charts.
Learn More About MRCI Volatility Research
Explore MRCI's daily implied volatility tables, historical volatility analysis, futures options research, seasonal futures research, and Black-Scholes calculations designed specifically for professional futures traders.
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