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Daily D-Mark Option Analysis -
Thu, October 4, 2001
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|
Month DEC |
Futures Closing Price 46.710 |
Days Left 65 |
Implied ATM Volatility 14.33% |
Last Trading Date Fri, Dec. 7, 2001 |
 Historical v. Implied Volatility GraphsHistorical Volatility TablesImplied Standard Deviations
|
OCT Implied Volatility v. 2-Week Historical Volatility
April 2, 2001 - October 4, 2001
Days to Options Expiration v. Volatility (percent)
Solid line is Implied Volatility
NOV Implied Volatility v. 2-Week Historical Volatility
April 2, 2001 - October 4, 2001
Days to Options Expiration v. Volatility (percent)
Solid line is Implied Volatility
DEC Implied Volatility v. 2-Week Historical Volatility
April 2, 2001 - October 4, 2001
Days to Options Expiration v. Volatility (percent)
Solid line is Implied Volatility
DEC Futures
April 2, 2001 - October 4, 2001
Days to Options Expiration v. Futures Price
Historical Volatilities for DM
| 1-Week | 2-Week | 1-Month | 6-Week | 2-Month | 3-Month | 4-Month | 6-Month | |
|---|---|---|---|---|---|---|---|---|
|
DEC |
10.86% |
13.05% |
9.17% |
9.90% |
9.97% |
10.15% |
10.52% |
n/a |
Implied Standard Deviations for DM
| 1-Day | 3-Day | 1-Week | 2-Week | 1-Month | 2-Month | 3-Month | ATM Vol. | |
|---|---|---|---|---|---|---|---|---|
|
DEC |
.35 |
.61 |
.93 |
1.31 |
1.92 |
2.74 |
3.34 |
14.33% |