MRCI Logo
MRCI's Implied Volatility Charts Sample from May 22, 2009

Daily, Weekly & Monthly futures volatility charts are accessible to MRCI Online subscribers.

How can MRCI research be used to trade options?

Report Implied Volatility Sample Page Problem Timing and direction of price movement are at least as important to options traders as to futures traders. Both win if price moves favorably. But one primary component of an option's premium is time, passage of which makes an option a decaying asset. If prices move sideways over time, the value of a futures contract does not change but that of an option declines. Further, if prices move unfavorably, a futures position can usually be rolled over into another delivery month at minimal additional cost whereas an option eventually expires worthless.

Thus, MRCI's seasonal analysis lends itself to options trading because the strength of seasonal research is discovering historical reliability in timing and direction. Traders know well in advance how strong is a market's tendency to move which way, when, and for how long.

Although there is often a direct relationship between a long call or put and the direction of a seasonal tendency in futures, sometimes an options trader must make certain accommodations with seasonal strategies. For instance, options may expire in a market before a seasonal strategy exits. In certain cases, then, an options trader wanting to take advantage of a seasonal tendency must devise a practical options strategy --- be it short or long an option for a deferred delivery month. MRCI provides the research for a trader to better make his own trading decisions.

But another primary component of option premium is volatility, a measure of risk (for prices to move). Much like an insurance policy, risk is directly reflected in the premium. MRCI has found that volatility also has seasonal tendencies. For example, prices for soybeans and corn are far more likely to move sharply during July --- when crops are most needy, weather most erratic, but production most determined.

An options trader can be right on price direction but, if he buys high volatility or sells low volatility can still lose money. MRCI volatility charts, available to MRCI Online subscribers, overlay current historical and implied volatility levels onto a graph depicting "normal" levels throughout the year. Daily updates available via e-mail provide numerical details which apprise an options trader of whether and how much volatility is greater or lesser than average. Again, MRCI provides the research for a trader to better make his own trading decisions.

*Implied Volatility Description (IV):
Current daily level of Implied Volatility (IV) for options on this futures contract, as derived from (implied by) options premiums (Black-Scholes).

*Historical Volatility Description (HV):
Current daily level of 20-day Historical Volatility (HV) for this futures contract, as calculated from futures price movement.

*Central Tendency Description (CTHV):
Current daily level of the Central Tendency of Historical Volatility(CTHV), the 15-year average of 20-day historical volatility (of futures prices). Thus, CTHV is the historical reference against which to compare IV and HV. CTHV is also used to calculate +1 and -1 STD (Standard Deviation), between which HV has theoretically been found 67% of the time.

For a complete description of the Implied Volatility (IV), Historical Volatility (HV), and the Central Tendency Historical Volatility (CTHV) columns click here, or click on each column header for individual descriptions.

MRCI Online also provides daily, weekly & monthly volatility charts for ALL the major commodity markets! Please visit: http://www.mrci.com/client/volatility.php to view a SAMPLE of these 3 charts.


This table is a sample from May 22, 2009.

Market IV HV +1SD CTHV -1SD IV+-% Daily Weekly Monthly
Jun09 Live Cattle(CME) 16.02 10.72 20.86 15.42 9.97 +3% Chart Chart Chart
Aug09 Live Cattle(CME) 17.27 10.11 18.33 13.31 8.30 +29% Chart Chart Chart
Oct09 Live Cattle(CME) 16.61 8.97 15.58 11.31 7.05 +46% Chart Chart Chart
Dec09 Live Cattle(CME) 15.04 8.14 13.63 10.15 6.66 +48% Chart Chart Chart
May09 Feeder Cattle(CME) 6.39 8.43 17.27 11.88 6.49 -46% Chart Chart Chart
Aug09 Feeder Cattle(CME) 15.70 10.20 18.02 13.52 9.02 +16% Chart Chart Chart
Sep09 Feeder Cattle(CME) 15.84 9.88 17.51 13.05 8.59 +21% Chart Chart Chart
Oct09 Feeder Cattle(CME) 15.40 11.47 17.10 12.63 8.15 +21% Chart Chart Chart
Nov09 Feeder Cattle(CME) 15.63 10.07 16.01 11.63 7.25 +34% Chart Chart Chart
Jun09 Lean Hogs(CME) 22.59 34.01 26.72 21.28 15.84 +6% Chart Chart Chart
Jul09 Lean Hogs(CME) 24.90 31.74 23.49 19.23 14.97 +29% Chart Chart Chart
Aug09 Lean Hogs(CME) 25.28 28.71 20.85 16.86 12.87 +49% Chart Chart Chart
Oct09 Lean Hogs(CME) 24.45 28.00 20.68 15.81 10.94 +54% Chart Chart Chart
Dec09 Lean Hogs(CME) 24.84 24.14 19.78 14.34 8.90 +73% Chart Chart Chart
Jul09 Soybeans(CBOT) 42.85 30.00 29.46 20.60 11.75 +107% Chart Chart Chart
Aug09 Soybeans(CBOT) 46.20 28.03 28.48 20.20 11.93 +128% Chart Chart Chart
Sep09 Soybeans(CBOT) 45.85 25.86 26.51 19.10 11.69 +140% Chart Chart Chart
Nov09 Soybeans(CBOT) 42.70 25.29 25.23 18.54 11.84 +130% Chart Chart Chart
Jul09 Soybean Oil(CBOT) 28.75 25.65 29.19 22.39 15.60 +28% Chart Chart Chart
Aug09 Soybean Oil(CBOT) 32.54 25.36 28.06 21.53 15.01 +51% Chart Chart Chart
Sep09 Soybean Oil(CBOT) 33.72 25.35 26.44 20.84 15.24 +61% Chart Chart Chart
Oct09 Soybean Oil(CBOT) 33.02 25.47 25.48 20.28 15.09 +62% Chart Chart Chart
Dec09 Soybean Oil(CBOT) 32.27 25.34 25.62 20.17 14.72 +59% Chart Chart Chart
Jul09 Soybean Meal(CBOT) 39.33 33.69 30.49 22.34 14.20 +76% Chart Chart Chart
Aug09 Soybean Meal(CBOT) 43.25 32.08 28.85 21.03 13.22 +105% Chart Chart Chart
Sep09 Soybean Meal(CBOT) 42.61 30.61 27.35 20.33 13.31 +109% Chart Chart Chart
Oct09 Soybean Meal(CBOT) 39.30 31.33 26.65 19.80 12.94 +98% Chart Chart Chart
Dec09 Soybean Meal(CBOT) 37.16 29.93 26.72 19.83 12.94 +87% Chart Chart Chart
Jul09 Corn(CBOT) 40.40 25.85 30.29 23.79 17.30 +69% Chart Chart Chart
Sep09 Corn(CBOT) 45.24 25.19 30.19 23.37 16.55 +93% Chart Chart Chart
Dec09 Corn(CBOT) 42.50 24.48 29.30 22.55 15.81 +88% Chart Chart Chart
Jul09 Wheat(CBOT) 43.63 37.28 34.55 27.50 20.45 +58% Chart Chart Chart
Sep09 Wheat(CBOT) 42.95 35.48 33.28 26.24 19.20 +63% Chart Chart Chart
Dec09 Wheat(CBOT) 41.37 33.90 32.03 25.15 18.27 +64% Chart Chart Chart
Jul09 Wheat(KCBT) 40.26 31.24 31.95 25.11 18.27 +60% Chart Chart Chart
Sep09 Wheat(KCBT) 38.23 30.37 30.06 23.74 17.41 +61% Chart Chart Chart
Dec09 Wheat(KCBT) 37.33 29.24 29.45 23.26 17.08 +60% Chart Chart Chart
Jul09 Wheat(MGE) 36.62 27.46 31.03 23.54 16.04 +55% Chart Chart Chart
Sep09 Wheat(MGE) 37.98 27.16 28.53 21.79 15.05 +74% Chart Chart Chart
Dec09 Wheat(MGE) 36.15 27.28 27.88 21.00 14.11 +72% Chart Chart Chart
Jul09 Oats(CBOT) 44.63 37.28 41.16 30.99 20.81 +44% Chart Chart Chart
Sep09 Oats(CBOT)   35.73 37.25 27.42 17.59   Chart Chart Chart
Dec09 Oats(CBOT) 34.72 32.96 33.74 23.62 13.50 +47% Chart Chart Chart
Jul09 Cotton(ICE) 36.56 32.83 32.73 25.06 17.39 +45% Chart Chart Chart
Oct09 Cotton(ICE) 34.38 29.58 26.66 20.59 14.53 +66% Chart Chart Chart
Dec09 Cotton(ICE) 33.20 26.47 25.55 18.96 12.36 +75% Chart Chart Chart
Jul09 Sugar #11(ICE) 38.98 34.90 41.32 31.82 22.33 +22% Chart Chart Chart
Oct09 Sugar #11(ICE) 38.56 30.84 34.24 26.25 18.25 +46% Chart Chart Chart
Jun09 S & P 500(CME) 27.92 24.35 19.82 14.83 9.83 +88% Chart Chart Chart
Sep09 S & P 500(CME) 29.37 24.47 19.84 14.83 9.82 +98% Chart Chart Chart
Jun09 NASDAQ 100(CME) 28.94 22.91 46.43 28.70 10.97 +0% Chart Chart Chart
Sep09 NASDAQ 100(CME) 30.06 22.92 46.11 28.50 10.89 +5% Chart Chart Chart
Jun09 DJIA Index(CBOT) 26.19 19.73 19.01 14.60 10.20 +79% Chart Chart Chart
Sep09 DJIA Index(CBOT) 24.20 19.78 18.99 14.56 10.13 +66% Chart Chart Chart
Jun09 30-Year T-Bonds(CBOT) 24.04 12.65 11.87 9.26 6.66 +159% Chart Chart Chart
Sep09 30-Year T-Bonds(CBOT) 16.29 12.86 12.01 9.38 6.76 +73% Chart Chart Chart
Jun09 10-Year T-Notes(CBOT) 12.49 6.81 7.96 6.13 4.29 +103% Chart Chart Chart
Sep09 10-Year T-Notes(CBOT) 9.18 6.93 8.12 6.27 4.42 +46% Chart Chart Chart
Jun09 5-Year T-Notes(CBOT) 8.26 4.25 5.44 4.26 3.07 +94% Chart Chart Chart
Jun09 Eurodollars(CME) 91.89 71.48 27.01 14.99 2.97 +513% Chart Chart Chart
Sep09 Eurodollars(CME) 81.20 75.61 42.98 25.24 7.49 +221% Chart Chart Chart
Dec09 Eurodollars(CME) 77.29 68.72 50.13 29.41 8.69 +162% Chart Chart Chart
Jun09 Gold(CMX) 19.86 14.13 21.08 14.43 7.79 +37% Chart Chart Chart
Aug09 Gold(CMX) 23.79 14.12 20.99 14.53 8.06 +63% Chart Chart Chart
Oct09 Gold(CMX) 25.67 14.12 20.96 14.48 8.00 +77% Chart Chart Chart
Dec09 Gold(CMX) 28.33 14.14 20.96 14.44 7.93 +96% Chart Chart Chart
Jul09 Copper(CMX) 68.00 41.68 37.79 26.23 14.66 +159% Chart Chart Chart
Sep09 Copper(CMX) 58.24 40.76 35.80 24.53 13.27 +137% Chart Chart Chart
Dec09 Copper(CMX) 51.93 40.01 33.29 22.64 11.99 +129% Chart Chart Chart
Jul09 Silver(CMX) 36.59 35.82 42.41 28.61 14.81 +27% Chart Chart Chart
Sep09 Silver(CMX) 37.70 35.82 42.03 28.39 14.75 +32% Chart Chart Chart
Dec09 Silver(CMX) 37.47 35.78 41.52 28.05 14.59 +33% Chart Chart Chart
Jun09 Swiss Franc(CME) 13.28 14.66 14.53 10.65 6.77 +24% Chart Chart Chart
Jun09 EuroFX(CME) 14.26 14.07 13.35 9.81 6.27 +45% Chart Chart Chart
Jun09 Japanese Yen(CME) 15.72 13.32 13.18 10.28 7.39 +52% Chart Chart Chart
Jun09 Canadian Dollar(CME) 16.41 15.73 8.68 6.24 3.80 +163% Chart Chart Chart
Jun09 British Pound(CME) 15.33 13.05 9.86 7.74 5.62 +98% Chart Chart Chart
Jun09 Australian Dollar(CME) 19.63 21.59 13.52 10.46 7.40 +87% Chart Chart Chart
Jun09 US Dollar Index(ICE) 11.90 12.31 10.37 7.90 5.43 +50% Chart Chart Chart
Jul09 Crude Oil(NYM) 45.13 40.92 33.82 29.16 24.50 +54% Chart Chart Chart
Aug09 Crude Oil(NYM) 45.06 39.73 30.42 26.41 22.40 +70% Chart Chart Chart
Sep09 Crude Oil(NYM) 43.15 38.12 28.68 24.62 20.56 +75% Chart Chart Chart
Oct09 Crude Oil(NYM) 42.24 36.55 27.59 23.34 19.09 +80% Chart Chart Chart
Nov09 Crude Oil(NYM) 41.64 35.12 26.89 22.44 17.98 +85% Chart Chart Chart
Dec09 Crude Oil(NYM) 40.01 33.76 26.40 21.74 17.09 +84% Chart Chart Chart
Jun09 Heating Oil(NYM) 51.56 40.79 36.94 30.99 25.04 +66% Chart Chart Chart
Jul09 Heating Oil(NYM) 48.73 39.73 35.02 29.03 23.05 +67% Chart Chart Chart
Aug09 Heating Oil(NYM) 47.88 38.19 33.49 27.53 21.58 +73% Chart Chart Chart
Sep09 Heating Oil(NYM) 47.25 36.74 32.33 26.33 20.33 +79% Chart Chart Chart
Oct09 Heating Oil(NYM) 46.60 35.51 31.40 25.35 19.30 +83% Chart Chart Chart
Nov09 Heating Oil(NYM) 45.08 34.51 30.66 24.58 18.50 +83% Chart Chart Chart
Dec09 Heating Oil(NYM) 43.99 33.64 29.94 23.60 17.26 +86% Chart Chart Chart
Jun09 Gasoline(NYMEX) 52.73 40.62 40.21 32.77 25.32 +60% Chart Chart Chart
Jul09 Gasoline(NYMEX) 50.71 38.16 36.53 29.18 21.84 +73% Chart Chart Chart
Aug09 Gasoline(NYMEX) 49.85 36.76 33.12 26.38 19.64 +88% Chart Chart Chart
Sep09 Gasoline(NYMEX) 48.22 35.82 31.37 24.78 18.18 +94% Chart Chart Chart
Oct09 Gasoline(NYMEX) 47.62 36.65 31.22 24.17 17.12 +97% Chart Chart Chart
Nov09 Gasoline(NYMEX) 47.01 36.12 30.99 24.00 17.02 +95% Chart Chart Chart
Dec09 Gasoline(NYMEX) 44.99 35.32 30.82 23.55 16.29 +91% Chart Chart Chart
Jun09 Natural Gas(NYM) 71.58 69.53 49.57 38.05 26.54 +88% Chart Chart Chart
Jul09 Natural Gas(NYM) 69.64 67.02 47.60 36.48 25.35 +90% Chart Chart Chart
Aug09 Natural Gas(NYM) 67.47 63.25 45.57 34.09 22.61 +97% Chart Chart Chart
Sep09 Natural Gas(NYM) 68.04 61.16 44.21 32.67 21.13 +108% Chart Chart Chart
Oct09 Natural Gas(NYM) 69.08 57.40 42.79 30.92 19.04 +123% Chart Chart Chart
Nov09 Natural Gas(NYM) 58.02 45.39 37.92 27.25 16.59 +112% Chart Chart Chart
Dec09 Natural Gas(NYM) 48.39 36.33 34.36 24.35 14.35 +98% Chart Chart Chart
Jul09 Coffee "C"(ICE) 38.17 26.83 47.87 35.93 23.99 +6% Chart Chart Chart
Sep09 Coffee "C"(ICE) 48.38 26.12 41.97 32.99 24.00 +46% Chart Chart Chart
Dec09 Coffee "C"(ICE) 43.61 24.85 38.96 30.81 22.66 +41% Chart Chart Chart
Jul09 Cocoa(ICE) 33.66 31.05 34.00 26.73 19.47 +25% Chart Chart Chart
Sep09 Cocoa(ICE) 41.73 30.29 31.82 25.10 18.38 +66% Chart Chart Chart
Dec09 Cocoa(ICE) 40.31 29.79 30.46 24.13 17.80 +67% Chart Chart Chart
Jul09 Lumber(CME) 39.05 41.53 31.98 25.42 18.87 +53% Chart Chart Chart
Sep09 Lumber(CME) 29.21 30.60 26.77 20.24 13.70 +44% Chart Chart Chart
Jul09 Orange Juice(ICE) 36.87 25.45 37.99 28.63 19.27 +28% Chart Chart Chart
Sep09 Orange Juice(ICE) 38.72 22.79 34.98 26.32 17.66 +47% Chart Chart Chart
Nov09 Orange Juice(ICE) 39.61 21.01 33.73 24.63 15.52 +60% Chart Chart Chart

2009 Historical Reports-
Subscribers get 15% off!