Copyright © 1996-2001 Moore Research Center, Inc.
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Chart Legend:
- the green line represents the 15 year central tendency of 20 day historical volatility (1984-1998)
- the blue lines represent 1 standard deviation from the central tendency
- the red line represents the implied volatility
- the magenta line represents the current markets 20 day historical volatility
- 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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Copyright © 1996-2001 Moore Research Center, Inc.
 |
Copyright © 1996-2001 Moore Research Center, Inc.
 |
Copyright © 1996-2001 Moore Research Center, Inc.
(Quotes in the table below are delayed, with open interest delayed
by a full day.)
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