30 Year Bonds (US) Option Volatility Analysis

CME

SP ES NK ND ED EY
JY BP AD CD MP SF
LC FC LH LB

CBOT

DJ US TY WT
SB BO SM C

CBOE

SX OX

CSCE

CA CF HS

NYCE

OJ CT

NYMEX

HO CL NG HU

COMEX

GC SI HG

DAILY SUMMARY

Main Page
Opt Calc
NEW - Web POP
Bookstore

	Sponsored by PMpublishing

Daily 30 Year Bonds Option Analysis - Thu, January 15, 2004
Hit reload on your browser if the date is incorrect.
Help
FREE Email Summaries

Month
MAR
APR
JUN
SEP
Futures
Closing Price
112.27
111.13
111.13
110.01
Days Left
27
52
92
162
Implied ATM
Volatility
0.63%
0.89%
0.73%
1.31%
Last Trading Date
Fri, Feb. 20, 2004
Fri, Mar. 26, 2004
Fri, May 21, 2004
Fri, Aug. 27, 2004

Historical v. Implied Volatility Graphs
Historical Volatility Tables
Implied Standard Deviations

FEB Implied Volatility v. 2-Week Historical Volatility
November 12, 2010 - December 2, 2010

Days to Options Expiration v. Volatility (percent)
Solid line is Implied Volatility

MAR Implied Volatility v. 2-Week Historical Volatility
September 15, 2010 - January 15, 2010

Days to Options Expiration v. Volatility (percent)
Solid line is Implied Volatility

MAR Futures
September 15, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

APR Implied Volatility v. 2-Week Historical Volatility
January 14, 2010 - January 15, 2010

Days to Options Expiration v. Volatility (percent)
Solid line is Implied Volatility

JUN Implied Volatility v. 2-Week Historical Volatility
November 12, 2010 - January 15, 2010

Days to Options Expiration v. Volatility (percent)
Solid line is Implied Volatility

JUN Futures
November 12, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

SEP Implied Volatility v. 2-Week Historical Volatility
January 14, 2010 - January 15, 2010

Days to Options Expiration v. Volatility (percent)
Solid line is Implied Volatility

DEC Futures
December 2, 2010 - January 15, 2010

Days to Options Expiration v. Futures Price

Historical Volatilities for US

1-Week 2-Week 1-Month 6-Week 2-Month 3-Month 4-Month 6-Month

MAR
JUN
SEP
9.08%
9.04%
9.01%
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a
n/a

	1-Week	2-Week	1-Month	6-Week	2-Month	3-Month	4-Month	6-Month
MAR JUN SEP	9.08% 9.04% 9.01%	n/a n/a n/a	n/a n/a n/a	n/a n/a n/a	n/a n/a n/a	n/a n/a n/a	n/a n/a n/a	n/a n/a n/a

Implied Standard Deviations for US

1-Day 3-Day 1-Week 2-Week 1-Month 2-Month 3-Month ATM Vol.

MAR
APR
JUN
SEP
-01
-02
-02
-03
-02
-03
-03
-05
-04
-05
-04
-08
-05
-07
-06
-11
-08
-11
-09
-16
-11
-15
-13
-22
-13
-19
-15
-27
0.63%
0.89%
0.73%
1.31%

	1-Day	3-Day	1-Week	2-Week	1-Month	2-Month	3-Month	ATM Vol.
MAR APR JUN SEP	-01 -02 -02 -03	-02 -03 -03 -05	-04 -05 -04 -08	-05 -07 -06 -11	-08 -11 -09 -16	-11 -15 -13 -22	-13 -19 -15 -27	0.63% 0.89% 0.73% 1.31%

MAR - US Next (APR) - Top

SETTLE (CLOSE)

FAIR VALUE

TICKS OVER FAIR

IMPLIED VOLATILITY

IMPLIED DELTA

VEGA

GAMMA

THETA

C/R

STRIKE

Call

Put

Call

Put

Call

Put

Call

Put

Call

Put

(ticks)

112*
113
114

2
1
1

1
1
2

54
2
---

---
12
110

-52
-1
+1

+1
-11
-108

----
.46
1.95

1.54
----
----

*.93
.17
.05

-.06
*-.82
*-.95

.03
.06
.02

22
154
15

0.1
0.1
0.1

53
10
109

MAR Fut=112.27 Days=27 atmVol=0.63% IntRate = 6.50%

MAR Volatility Skew
Last Trading Date: February 20, 2004

Strike v. Volatilitywww.pmpublishing.com

APR - US Next (JUN) - Previous (MAR) - Top

SETTLE (CLOSE)

FAIR VALUE

TICKS OVER FAIR

IMPLIED VOLATILITY

IMPLIED DELTA

VEGA

GAMMA

THETA

C/R

STRIKE

Call

Put

Call

Put

Call

Put

Call

Put

Call

Put

(ticks)

108
109
110
111*
112
113
114

4
3
3
2
2
1
1

1
1
1
2
---
---
---

326
226
126
29
1
---
---

---
---
---
3
39
138
238

-322
-223
-123
-27
+1
+1
+1

+1
+1
+1
-1
---
---
---

----
----
----
----
1.03
1.84
2.73

3.52
2.63
1.69
.80
----
----
----

*.99
*.98
*.96
*.84
.12
.04
.03

-.02
-.03
-.05
-.15
*-.87
*-.96
*-.98

.02
.02
.03
.07
.06
.03
.02

3
5
11
59
40
10
5

0.1
0.1
0.0
0.1
0.1
0.0
0.1

323
224
124
26
---
---
---

APR Fut=111.13 Days=52 atmVol=0.89% IntRate = 6.50%

APR Volatility Skew
Last Trading Date: March 26, 2004

Strike v. Volatilitywww.pmpublishing.com

JUN - US Next (SEP) - Previous (APR) - Top

SETTLE (CLOSE)

FAIR VALUE

TICKS OVER FAIR

IMPLIED VOLATILITY

IMPLIED DELTA

VEGA

GAMMA

THETA

C/R

STRIKE

Call

Put

Call

Put

Call

Put

Call

Put

Call

Put

(ticks)

105
106
107
108
109
110
111*
112
113
114
115
116
117
118

---
6
5
5
4
4
3
2
2
2
1
1
1
1

1
1
1
1
2
2
3
---
4
---
---
---
---
---

626
526
426
326
226
126
29
2
---
---
---
---
---
---

---
---
---
---
---
---
3
39
138
238
338
438
538
638

---
-520
-421
-321
-222
-122
-26
0
+2
+2
+1
+1
+1
+1

+1
+1
+1
+1
+2
+2
0
---
-134
---
---
---
---
---

----
----
----
----
----
----
----
.78
1.60
2.34
2.69
3.29
3.88
4.44

4.60
3.96
3.31
2.65
2.25
1.47
.70
----
----
----
----
----
----
----

*1.00
*1.00
*1.00
*1.00
*.96
*.93
*.80
.12
.07
.05
.02
.02
.02
.01

-.01
-.02
-.02
-.02
-.05
-.07
-.18
*-.87
*-.94
*-.96
*-1.00
*-1.00
*-1.00
*-1.00

.02
.02
.02
.02
.04
.06
.11
.09
.05
.04
.02
.02
.02
.02

1
2
2
3
7
14
57
39
12
6
3
2
2
1

0.0
0.0
0.0
0.0
0.1
0.0
0.0
0.0
0.0
0.1
0.0
0.0
0.0
0.0

---
521
422
322
224
124
26
---
136
---
---
---
---
---

JUN Fut=111.13 Days=92 atmVol=0.73% IntRate = 6.50%

JUN Volatility Skew
Last Trading Date: May 21, 2004

Strike v. Volatilitywww.pmpublishing.com

SEP - US Previous (JUN) - Top

SETTLE (CLOSE)

FAIR VALUE

TICKS OVER FAIR

IMPLIED VOLATILITY

IMPLIED DELTA

VEGA

GAMMA

THETA

C/R

STRIKE

Call

Put

Call

Put

Call

Put

Call

Put

Call

Put

(ticks)

100
101
104
105
106
107
108
109
110*
114
116
117
118
120

---
---
---
---
---
5
5
4
4
2
1
1
1
1

1
1
1
2
2
---
3
3
4
---
---
---
---
---

1002
902
602
502
402
302
202
107
29
---
---
---
---
---

---
---
---
---
---
---
1
7
27
362
562
662
762
962

---
---
---
---
---
-261
-161
-103
-25
+2
+1
+1
+1
+1

+1
+1
+1
+2
+2
---
+2
-4
-23
---
---
---
---
---

----
----
----
----
----
----
----
----
----
2.50
3.12
3.55
3.97
4.77

5.26
4.78
3.32
3.17
2.63
----
1.65
1.00
----
----
----
----
----
----

*1.00
*1.00
*1.00
*1.00
*1.00
*.98
*.94
*.89
*.50
.04
.02
.01
.01
.01

-.01
-.01
-.01
-.03
-.03
*-.05
-.07
-.11
*-.47
*-1.00
*-1.00
*-1.00
*-1.00
*-1.00

.01
.02
.02
.04
.04
.05
.08
.10
.21
.04
.02
.02
.02
.02

0.6
0.7
1
2
3
5
10
22
35
4
1
1
1.0
0.7

0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.1
0.0
0.0
0.0
0.0
0.0

---
---
---
---
---
---
200
101
2
---
---
---
---
---

SEP Fut=110.01 Days=162 atmVol=1.31% IntRate = 6.50%

SEP Volatility Skew
Last Trading Date: August 27, 2004

Strike v. Volatilitywww.pmpublishing.com

PMpublishing's Daily Options Summary Home Page

Click Here for FREE Options Summaries Emailed Directly to you

E-mail: info@pmpublishing.com

We are currently in the process of adding features to the site. Please do not hesitate to let us know what trading tools you would like to have. You can submit your email address if you want a reply or if you want to be informed of future updates.
Suggestions:
E-mail: