MRCI Implied Volatility Studies


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* the green line represents the 15 year central tendency of 20 day historical volatility (1995-2009)
* the blue lines represent 1 standard deviation from the central tendency
* the red line represents the implied volatility
* the magenta line represents the current markets 20 day historical volatility
* The daily chart above displays the average historical volatility (and one standard deviation in each direction)

At any given point on this line, volatility has been found above half the time, and below half the time, on average. Historical volatility has traditionally been found between the two outside bands 68% of the time. When overlaid with current implied volatility we are able to distinguish those levels that fall outside the historical norm, creating a reference point regarding current option market prices.


Click for larger image.

This chart represents the current market.

This report is always available gratis to MRCI Online subscribers & free trial guests. I don’t have a financial relationship with MRCI to disclose.


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