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Chart Legend:
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the green line represents the 15 year central
tendency of 20 day historical volatility (1984-1999)
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the blue lines represent 1 standard deviation from
the central tendency
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the red line represents the implied volatility
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the magenta line represents the current markets 20
day historical volatility
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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 volatilty we are able to distinguish those levels that fall outside the
historical norm, creating a reference point regarding current option market prices.
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(Quotes in the table below are delayed, with open interest delayed by a full day.)
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