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Daily Euroyen Option Analysis -
Wed, August 8, 2001
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|
Month DEC |
Futures Closing Price 99.850 |
Days Left 129 |
Implied ATM Volatility 154.63% |
Last Trading Date Fri, Dec. 14, 2001 |
 Historical v. Implied Volatility GraphsHistorical Volatility TablesImplied Standard Deviations
|
AUG Implied Volatility v. 1-Month Historical Volatility
February 2, 2001 - August 8, 2001
Days to Options Expiration v. Volatility (percent)
Solid line is Implied Volatility
SEP Implied Volatility v. 1-Month Historical Volatility
January 5, 2001 - August 8, 2001
Days to Options Expiration v. Volatility (percent)
Solid line is Implied Volatility
SEP Futures
January 5, 2001 - August 8, 2001
Days to Options Expiration v. Futures Price
OCT Implied Volatility v. 1-Month Historical Volatility
February 2, 2001 - August 8, 2001
Days to Options Expiration v. Volatility (percent)
Solid line is Implied Volatility
NOV Implied Volatility v. 1-Month Historical Volatility
February 2, 2001 - August 8, 2001
Days to Options Expiration v. Volatility (percent)
Solid line is Implied Volatility
DEC Implied Volatility v. 1-Month Historical Volatility
February 2, 2001 - August 8, 2001
Days to Options Expiration v. Volatility (percent)
Solid line is Implied Volatility
DEC Futures
February 2, 2001 - August 8, 2001
Days to Options Expiration v. Futures Price
Historical Volatilities for EY
| 1-Week | 2-Week | 1-Month | 6-Week | 2-Month | 3-Month | 4-Month | 6-Month | |
|---|---|---|---|---|---|---|---|---|
|
SEP DEC |
120.41% 134.16% |
90.55% 103.21% |
66.94% 78.96% |
72.31% 69.47% |
74.35% 63.83% |
69.07% 63.99% |
69.42% 67.35% |
91.36% 85.57% |
Implied Standard Deviations for EY
| 1-Day | 3-Day | 1-Week | 2-Week | 1-Month | 2-Month | 3-Month | ATM Vol. | |
|---|---|---|---|---|---|---|---|---|
|
DEC |
.01 |
.02 |
.03 |
.05 |
.07 |
.09 |
.12 |
154.63% |