How can MRCI research be used to trade options?
 

Moore Research Center, Inc.

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Home News Newsflash How can MRCI research be used to trade options?

How can MRCI research be used to trade options?

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An options trader can be right on price direction; but, if he buys high volatility or sells low volatility, he can still lose money.

MRCI volatility charts, updated daily and available to MRCI ONLINE subscribers, overlay current historical and implied volatility
levels onto a graph depicting "normal" levels and seasonal trends throughout the year.

MRCI's Implied Volatility Report, (as shown below) apprises options traders of whether and by how much volatility may be greater or lesser than average.

MRCI ONLINE subscribers & Free Trial Guests can automatically receive a copy of this report via email each night! Join this list!

 


MRCI's Implied Volatility Report as of Monday March 25, 2015
Website charts: http://www.mrci.com/client/options
MRCI's Implied Volatility Data as of Wednesday January 25, 2017     
/==================================================================================\
|           Contract           |  IV   |  HV   | +1SD  | CTHV  | -1SD  |IV+-% |D2EX|
|==============================|=======|=======|=======|=======|=======|======|====|
|Feb17 Live Cattle(CME)        |  18.06|  16.09|  25.05|  16.22|   7.38|  +11%|   9|
|Apr17 Live Cattle(CME)        |  17.09|  14.77|  21.52|  14.25|   6.97|  +19%|  72|
|Jun17 Live Cattle(CME)        |  16.28|  12.14|  16.93|  11.80|   6.67|  +37%| 128|
|Jan17 Feeder Cattle(CME)      |   6.78|  14.53|  22.93|  14.21|   5.49|  -52%|   1|
|Mar17 Feeder Cattle(CME)      |  17.18|  17.42|  24.31|  16.50|   8.69|   +4%|  64|
|Apr17 Feeder Cattle(CME)      |  17.32|  16.52|  22.30|  15.11|   7.92|  +14%|  92|
|May17 Feeder Cattle(CME)      |  17.67|  15.33|  21.37|  14.45|   7.53|  +22%| 120|
|Feb17 Lean Hogs(CME)          |  19.30|  26.43|  27.66|  22.07|  16.48|  -12%|  20|
|Apr17 Lean Hogs(CME)          |  23.14|  21.25|  26.17|  20.56|  14.95|  +12%|  79|
|May17 Lean Hogs(CME)          |  22.21|  16.31|  21.96|  16.27|  10.59|  +36%| 107|
|Jun17 Lean Hogs(CME)          |  21.41|  14.82|  21.53|  16.26|  10.99|  +31%| 140|
|Mar17 Soybeans(CBOT)          |  15.72|  20.54|  30.78|  23.59|  16.40|  -33%|  30|
|May17 Soybeans(CBOT)          |  17.30|  20.05|  30.42|  23.17|  15.93|  -25%|  86|
|Jul17 Soybeans(CBOT)          |  18.78|  19.27|  29.70|  22.56|  15.43|  -16%| 149|
|Aug17 Soybeans(CBOT)          |  19.53|  18.03|  29.16|  21.79|  14.42|  -10%| 177|
|Mar17 Soybean Oil(CBOT)       |  18.07|  13.23|  31.24|  23.44|  15.63|  -22%|  30|
|May17 Soybean Oil(CBOT)       |  18.12|  12.96|  30.78|  22.88|  14.97|  -20%|  86|
|Jul17 Soybean Oil(CBOT)       |  18.20|  12.74|  30.60|  22.54|  14.47|  -19%| 149|
|Aug17 Soybean Oil(CBOT)       |  16.35|  12.47|  30.43|  22.25|  14.07|  -26%| 177|
|Mar17 Soybean Meal(CBOT)      |  22.39|  29.17|  34.28|  27.96|  21.65|  -19%|  30|
|May17 Soybean Meal(CBOT)      |  22.43|  27.54|  32.58|  26.28|  19.99|  -14%|  86|
|Jul17 Soybean Meal(CBOT)      |  23.04|  25.59|  31.84|  25.41|  18.98|   -9%| 149|
|Aug17 Soybean Meal(CBOT)      |  23.07|  23.66|  30.82|  24.17|  17.51|   -4%| 177|
|Mar17 Corn(CBOT)              |  15.33|  17.61|  37.57|  26.82|  16.07|  -42%|  30|
|May17 Corn(CBOT)              |  18.54|  16.83|  36.41|  25.84|  15.27|  -28%|  86|
|Jul17 Corn(CBOT)              |  21.74|  16.39|  35.41|  25.01|  14.61|  -13%| 149|
|Mar17 Wheat(CBOT)             |  19.17|  26.06|  40.47|  29.96|  19.45|  -36%|  30|
|May17 Wheat(CBOT)             |  22.46|  23.76|  38.26|  28.04|  17.81|  -19%|  86|
|Jul17 Wheat(CBOT)             |  23.47|  21.61|  36.26|  26.23|  16.21|  -10%| 149|
|Mar17 Wheat(KCBT)             |  18.45|  25.55|  38.21|  27.95|  17.68|  -33%|  30|
|May17 Wheat(KCBT)             |  21.44|  24.96|  36.95|  26.77|  16.59|  -19%|  86|
|Mar17 Wheat(MGE)              |  17.55|  20.17|  33.20|  23.32|  13.44|  -24%|  30|
|May17 Wheat(MGE)              |  17.18|  14.05|  32.88|  22.83|  12.78|  -24%|  86|
|Mar17 Rough Rice(CBOT)        |  25.88|  17.19|  30.10|  23.03|  15.95|  +12%|  30|
|May17 Rough Rice(CBOT)        |  23.77|  15.87|  29.63|  22.29|  14.95|   +6%|  86|
|Mar17 Cotton(ICE)             |  19.85|  17.79|  31.59|  23.25|  14.91|  -14%|  16|
|May17 Cotton(ICE)             |  19.99|  16.40|  30.25|  21.73|  13.21|   -7%|  79|
|Mar17 S & P 500(CME)          |   9.88|   6.63|  22.96|  15.36|   7.77|  -35%|  50|
|Jun17 S & P 500(CME)          |  12.23|   6.67|  23.14|  15.46|   7.77|  -20%| 141|
|Mar17 30-Year T-Bonds(CBOT)   |  10.81|   9.51|  14.11|  10.31|   6.52|   +4%|  30|
|Mar17 10-Year T-Notes(CBOT)   |   5.58|   5.02|   8.04|   5.83|   3.61|   -4%|  30|
|Mar17 Eurodollars(CME)        |  23.29|  16.15|  66.94|  35.70|   4.46|  -34%|  47|
|Jun17 Eurodollars(CME)        |  25.06|  20.94|  87.35|  53.00|  18.65|  -52%| 145|
|Feb17 Gold(CMX)               |  14.65|  12.96|  23.29|  17.84|  12.38|  -17%|   1|
|Apr17 Gold(CMX)               |  13.16|  12.98|  23.29|  17.84|  12.39|  -26%|  61|
|Jun17 Gold(CMX)               |  13.92|  12.99|  23.32|  17.86|  12.40|  -22%| 120|
|Mar17 Copper(CMX)             |  23.68|  22.15|  43.59|  28.85|  14.11|  -17%|  29|
|May17 Copper(CMX)             |  24.34|  22.11|  43.19|  28.55|  13.90|  -14%|  90|
|May17 Silver(CMX)             |  22.36|  18.50|  38.16|  30.93|  23.70|  -27%|  90|
|Mar17 Swiss Franc(CME)        |   7.62|   8.14|  25.58|  13.92|   2.26|  -45%|  37|
|Mar17 EuroFX(CME)             |   7.96|   8.65|  13.09|  10.08|   7.07|  -21%|  37|
|Mar17 Japanese Yen(CME)       |  11.82|  13.07|  12.44|   9.70|   6.95|  +21%|  37|
|Mar17 Canadian Dollar(CME)    |   8.30|   8.50|  13.06|   9.35|   5.63|  -11%|  37|
|Mar17 British Pound(CME)      |   9.72|  11.86|  14.71|   9.60|   4.48|   +1%|  37|
|Mar17 Australian Dollar(CME)  |   9.48|   7.82|  19.68|  12.54|   5.41|  -24%|  37|
|Mar17 US Dollar Index(ICE)    |   7.84|   8.51|  10.42|   8.15|   5.87|   -3%|  37|
|Mar17 Crude Oil(NYM)          |  29.94|  27.55|  57.01|  37.06|  17.12|  -19%|  21|
|Apr17 Crude Oil(NYM)          |  29.45|  26.81|  53.77|  35.22|  16.66|  -16%|  50|
|May17 Crude Oil(NYM)          |  29.43|  26.02|  51.13|  33.75|  16.37|  -12%|  82|
|Jun17 Crude Oil(NYM)          |  29.98|  25.31|  49.06|  32.44|  15.82|   -7%| 112|
|Jul17 Crude Oil(NYM)          |  30.46|  24.75|  47.51|  31.47|  15.42|   -3%| 141|
|Apr17 Brent Crude Oil(ICE)    |  28.87|  27.02|  50.88|  33.08|  15.28|  -12%|  28|
|May17 Brent Crude Oil(ICE)    |  29.15|  26.44|  49.10|  32.00|  14.90|   -8%|  61|
|Jun17 Brent Crude Oil(ICE)    |  29.50|  25.82|  47.43|  30.99|  14.55|   -4%|  89|
|Feb17 NY Harbor ULSD(NYM)     |  39.26|  28.24|  52.32|  35.64|  18.96|  +10%|   1|
|Mar17 NY Harbor ULSD(NYM)     |  28.00|  27.17|  49.95|  33.96|  17.97|  -17%|  29|
|Apr17 NY Harbor ULSD(NYM)     |  28.19|  26.15|  47.62|  32.33|  17.05|  -12%|  62|
|May17 NY Harbor ULSD(NYM)     |  28.33|  25.47|  45.65|  30.97|  16.29|   -8%|  90|
|Feb17 RBOB Gasoline(NYM)      |  45.89|  31.05|  56.11|  38.26|  20.42|  +19%|   1|
|Mar17 RBOB Gasoline(NYM)      |  30.34|  29.31|  53.32|  36.33|  19.33|  -16%|  29|
|Apr17 RBOB Gasoline(NYM)      |  27.25|  23.50|  45.75|  31.36|  16.96|  -13%|  62|
|May17 RBOB Gasoline(NYM)      |  26.99|  22.68|  44.04|  30.23|  16.42|  -10%|  90|
|Jun17 RBOB Gasoline(NYM)      |  27.20|  22.24|  42.73|  29.37|  16.00|   -7%| 121|
|Feb17 Natural Gas(NYM)        |  73.25|  66.13|  78.33|  61.37|  44.41|  +19%|   1|
|Mar17 Natural Gas(NYM)        |  46.47|  61.67|  73.67|  57.82|  41.97|  -19%|  29|
|Apr17 Natural Gas(NYM)        |  40.20|  52.26|  58.18|  46.47|  34.77|  -13%|  62|
|May17 Natural Gas(NYM)        |  38.33|  49.80|  54.46|  43.06|  31.66|  -10%|  90|
|Jun17 Natural Gas(NYM)        |  37.72|  48.17|  52.07|  41.16|  30.24|   -8%| 121|
|Mar17 Coffee "C"(ICE)         |  29.72|  21.51|  36.08|  30.74|  25.40|   -3%|  16|
|May17 Coffee "C"(ICE)         |  30.50|  21.14|  34.85|  29.85|  24.84|   +2%|  79|
|Jul17 Coffee "C"(ICE)         |  30.31|  20.71|  33.77|  28.99|  24.21|   +4%| 135|
|Mar17 Cocoa(ICE)              |  33.63|  34.81|  40.18|  29.70|  19.22|  +13%|   9|
|May17 Cocoa(ICE)              |  27.73|  33.87|  39.12|  28.86|  18.61|   -3%|  72|
|Jul17 Cocoa(ICE)              |  25.75|  32.59|  38.49|  28.29|  18.09|   -8%| 128|
|Mar17 Sugar #11(ICE)          |  25.73|  31.07|  44.25|  31.83|  19.41|  -19%|  21|
|May17 Sugar #11(ICE)          |  27.59|  26.50|  39.65|  28.12|  16.59|   -1%|  82|
|Jul17 Sugar #11(ICE)          |  25.68|  22.57|  35.82|  25.20|  14.58|   +1%| 141|
|Mar17 Orange Juice(ICE)       |  38.78|  33.77|  54.79|  37.56|  20.33|   +3%|   9|
|May17 Orange Juice(ICE)       |  31.38|  31.32|  51.95|  35.61|  19.27|  -11%|  72|
|Jan17 Class III Milk(CME)     |   5.54|   5.13|  15.93|  10.24|   4.55|  -45%|   8|
|Feb17 Class III Milk(CME)     |   6.98|  14.38|  32.18|  21.91|  11.63|  -68%|  36|
|Mar17 Class III Milk(CME)     |  14.25|  13.60|  32.49|  22.29|  12.10|  -36%|  69|
\==================================================================================/

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 Model).

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. Implied Volatility Over/Under Percentage Description (IV+-%) The percentage the current Implied Volatility (IV) is above or below the Central Tendency (CTHV). Days to Expiration Description (D2Ex) Conveniently enumerates how many days until options on that futures contract expires.
 
/==================================================================================\
|           Contract           |  IV   |  HV   | +1SD  | CTHV  | -1SD  |IV+-% |D2EX|
|==============================|=======|=======|=======|=======|=======|======|====|
|Aug11 Live Cattle(CME)        |  19.31|  22.04|  17.53|  13.35|   9.16|  +44%|  39|
|Oct11 Live Cattle(CME)        |  17.62|  19.05|  14.72|  11.30|   7.87|  +55%| 102|
|Dec11 Live Cattle(CME)        |  16.83|  18.04|  13.34|  10.03|   6.71|  +67%| 158|
|Feb12 Live Cattle(CME)        |  15.79|  17.36|  12.08|   9.06|   6.04|  +74%| 221|
|Aug11 Feeder Cattle(CME)      |  19.56|  18.94|  17.80|  13.71|   9.63|  +42%|  59|
|Sep11 Feeder Cattle(CME)      |  17.89|  18.59|  17.35|  13.18|   9.00|  +35%|  94|
|Oct11 Feeder Cattle(CME)      |  18.56|  18.04|  16.96|  12.94|   8.91|  +43%| 122|
|Nov11 Feeder Cattle(CME)      |  18.73|  17.50|  16.11|  12.26|   8.40|  +52%| 143|
|Jan12 Feeder Cattle(CME)      |  17.80|  16.03|  15.18|  11.55|   7.93|  +54%| 213|
|Jul11 Lean Hogs(CME)          |  19.72|  20.15|  28.48|  21.80|  15.13|   -9%|  17|
|Aug11 Lean Hogs(CME)          |  21.57|  20.34|  28.48|  22.00|  15.52|   -1%|  46|
|Oct11 Lean Hogs(CME)          |  20.27|  18.42|  27.37|  21.16|  14.95|   -4%| 109|
|Dec11 Lean Hogs(CME)          |  19.16|  18.65|  26.54|  20.06|  13.58|   -4%| 170|
|Feb12 Lean Hogs(CME)          |  18.33|  16.10|  22.27|  16.56|  10.85|  +10%| 232|
|Aug11 Soybeans(CBOT)          |  26.91|  15.00|  30.87|  23.49|  16.11|  +14%|  25|
|Sep11 Soybeans(CBOT)          |  25.60|  14.73|  31.58|  23.89|  16.21|   +7%|  60|
|Nov11 Soybeans(CBOT)          |  23.80|  14.62|  32.15|  24.18|  16.20|   -1%| 116|
|Jan12 Soybeans(CBOT)          |  23.57|  14.20|  31.44|  23.53|  15.62|   +0%| 179|
|Mar12 Soybeans(CBOT)          |  23.93|  13.66|  30.99|  23.01|  15.03|   +4%| 242|
|Aug11 Soybean Oil(CBOT)       |  20.22|  12.35|  29.15|  22.31|  15.47|   -9%|  25|
|Sep11 Soybean Oil(CBOT)       |  21.56|  12.34|  28.56|  21.97|  15.38|   -1%|  60|
|Oct11 Soybean Oil(CBOT)       |  21.22|  12.27|  27.12|  21.27|  15.41|   +0%|  88|
|Dec11 Soybean Oil(CBOT)       |  21.19|  12.30|  28.72|  22.03|  15.34|   -3%| 151|
|Jan12 Soybean Oil(CBOT)       |  20.39|  12.04|  28.10|  21.51|  14.91|   -5%| 179|
|Mar12 Soybean Oil(CBOT)       |  21.41|  11.83|  27.21|  21.20|  15.20|   +0%| 242|
|Aug11 Soybean Meal(CBOT)      |  25.73|  20.80|  35.74|  27.22|  18.71|   -5%|  25|
|Sep11 Soybean Meal(CBOT)      |  24.74|  19.29|  35.13|  26.92|  18.70|   -8%|  60|
|Oct11 Soybean Meal(CBOT)      |  22.33|  19.50|  36.82|  27.51|  18.20|  -18%|  88|
|Dec11 Soybean Meal(CBOT)      |  21.98|  19.86|  37.10|  27.71|  18.31|  -20%| 151|
|Jan12 Soybean Meal(CBOT)      |  21.95|  19.69|  37.13|  27.43|  17.74|  -19%| 179|
|Mar12 Soybean Meal(CBOT)      |  20.97|  19.06|  36.39|  26.87|  17.36|  -21%| 242|
|Sep11 Corn(CBOT)              |  42.50|  35.37|  34.97|  27.55|  20.12|  +54%|  60|
|Dec11 Corn(CBOT)              |  36.73|  35.38|  33.82|  26.70|  19.59|  +37%| 151|
|Mar12 Corn(CBOT)              |  34.72|  34.26|  32.14|  25.05|  17.96|  +38%| 242|
|Sep11 Wheat(CBOT)             |  41.11|  39.45|  37.84|  28.69|  19.53|  +43%|  60|
|Dec11 Wheat(CBOT)             |  36.17|  35.15|  36.06|  27.12|  18.19|  +33%| 151|
|Mar12 Wheat(CBOT)             |  34.31|  33.10|  34.36|  25.51|  16.67|  +34%| 242|
|Sep11 Wheat(KCBT)             |  33.24|  33.36|  34.66|  26.36|  18.06|  +26%|  95|
|Dec11 Wheat(KCBT)             |  32.10|  31.78|  32.67|  24.84|  17.02|  +29%| 186|
|Mar12 Wheat(KCBT)             |  30.92|  30.79|  32.26|  24.13|  16.01|  +28%| 277|
|Sep11 Wheat(MGE)              |  39.79|  32.93|  32.78|  24.41|  16.04|  +63%|  95|
|Dec11 Wheat(MGE)              |  37.83|  31.36|  31.69|  23.33|  14.98|  +62%| 186|
|Mar12 Wheat(MGE)              |  34.07|  30.13|  31.24|  22.33|  13.41|  +52%| 277|
|Sep11 Oats(CBOT)              |  31.70|  34.20|  45.43|  33.98|  22.53|   -6%|  60|
|Dec11 Oats(CBOT)              |  28.33|  32.86|  41.52|  31.32|  21.11|   -9%| 151|
|Oct11 Cotton(ICE)             |  45.97|  36.65|  32.24|  24.92|  17.59|  +84%|  81|
|Dec11 Cotton(ICE)             |  45.53|  41.32|  30.14|  23.15|  16.16|  +96%| 137|
|Mar12 Cotton(ICE)             |  44.15|  40.02|  28.27|  21.34|  14.41| +106%| 228|
|Oct11 Sugar #11(ICE)          |  40.01|  29.07|  39.70|  30.49|  21.27|  +31%|  74|
|Mar12 Sugar #11(ICE)          |  36.52|  27.06|  32.18|  24.81|  17.44|  +47%| 228|
|Sep11 S & P 500(CME)          |  18.27|  17.36|  21.46|  16.20|  10.93|  +12%|  80|
|Dec11 S & P 500(CME)          |  19.78|  17.44|  21.56|  16.22|  10.87|  +21%| 171|
|Sep11 NASDAQ 100(CME)         |  20.25|  19.81|  37.29|  26.07|  14.84|  -22%|  80|
|Sep11 30-Year T-Bonds(CBOT)   |  11.88|   9.65|  12.66|   9.49|   6.31|  +25%|  60|
|Dec11 30-Year T-Bonds(CBOT)   |  11.95|  10.30|  13.02|   9.90|   6.78|  +20%| 151|
|Sep11 10-Year T-Notes(CBOT)   |   7.31|   6.10|   8.40|   6.34|   4.28|  +15%|  60|
|Dec11 10-Year T-Notes(CBOT)   |   7.38|   6.25|   8.69|   6.52|   4.35|  +13%| 151|
|Sep11 5-Year T-Notes(CBOT)    |   4.66|   3.98|   6.14|   4.52|   2.90|   +3%|  60|
|Aug11 Gold(CMX)               |  14.22|  11.88|  24.47|  16.39|   8.31|  -13%|  29|
|Oct11 Gold(CMX)               |  15.86|  11.88|  24.43|  16.38|   8.33|   -3%|  91|
|Dec11 Gold(CMX)               |  17.05|  11.85|  24.39|  16.35|   8.32|   +4%| 150|
|Sep11 Copper(CMX)             |  22.20|  17.11|  46.02|  29.52|  13.02|  -24%|  59|
|Dec11 Copper(CMX)             |  24.07|  16.86|  43.46|  27.81|  12.15|  -13%| 150|
|Sep11 Silver(CMX)             |  40.31|  37.52|  43.35|  26.55|   9.74|  +51%|  59|
|Dec11 Silver(CMX)             |  39.80|  37.52|  42.85|  26.30|   9.76|  +51%| 150|
|Sep11 Swiss Franc(CME)        |  12.50|   8.33|  13.63|  10.46|   7.29|  +19%|  74|
|Dec11 Swiss Franc(CME)        |  12.62|   8.31|  13.59|  10.43|   7.28|  +20%| 165|
|Sep11 EuroFX(CME)             |  13.72|  13.34|  13.23|  10.42|   7.61|  +31%|  74|
|Dec11 EuroFX(CME)             |  13.64|  13.16|  13.18|  10.38|   7.58|  +31%| 165|
|Sep11 Japanese Yen(CME)       |   9.72|   7.25|  15.98|  11.21|   6.44|  -13%|  74|
|Dec11 Japanese Yen(CME)       |  10.74|   7.24|  15.94|  11.16|   6.37|   -3%| 165|
|Sep11 Canadian Dollar(CME)    |   9.72|  10.37|  11.69|   7.73|   3.77|  +25%|  74|
|Dec11 Canadian Dollar(CME)    |  10.01|  10.32|  11.65|   7.70|   3.75|  +30%| 165|
|Sep11 British Pound(CME)      |  10.01|   8.92|  12.05|   8.81|   5.57|  +13%|  74|
|Dec11 British Pound(CME)      |  10.59|   8.90|  12.06|   8.81|   5.56|  +20%| 165|
|Sep11 Australian Dollar(CME)  |  13.48|  10.09|  17.72|  12.20|   6.68|  +10%|  74|
|Dec11 Australian Dollar(CME)  |  14.18|  10.02|  17.74|  12.20|   6.66|  +16%| 165|
|Sep11 US Dollar Index(ICE)    |  10.87|  11.01|  10.97|   8.49|   6.01|  +28%|  74|
|Dec11 US Dollar Index(ICE)    |  11.26|  11.00|  10.94|   8.50|   6.07|  +32%| 165|
|Aug11 Crude Oil(NYM)          |  31.47|  33.85|  41.59|  33.39|  25.19|   -5%|  18|
|Sep11 Crude Oil(NYM)          |  31.41|  33.48|  37.84|  30.85|  23.86|   +1%|  51|
|Oct11 Crude Oil(NYM)          |  31.35|  33.02|  35.77|  28.96|  22.15|   +8%|  80|
|Nov11 Crude Oil(NYM)          |  31.81|  32.42|  34.43|  27.60|  20.76|  +15%| 112|
|Dec11 Crude Oil(NYM)          |  31.96|  31.84|  33.41|  26.48|  19.54|  +20%| 143|
|Jan12 Crude Oil(NYM)          |  31.49|  31.30|  32.71|  25.71|  18.70|  +22%| 171|
|Feb12 Crude Oil(NYM)          |  31.24|  30.77|  32.10|  25.09|  18.08|  +24%| 204|
|Aug11 Heating Oil(NYM)        |  28.35|  34.54|  39.64|  32.30|  24.97|  -12%|  29|
|Sep11 Heating Oil(NYM)        |  29.30|  34.02|  38.12|  30.69|  23.26|   -4%|  60|
|Oct11 Heating Oil(NYM)        |  29.22|  33.47|  36.75|  29.28|  21.81|   +0%|  92|
|Nov11 Heating Oil(NYM)        |  29.72|  33.06|  35.52|  28.03|  20.54|   +6%| 121|
|Dec11 Heating Oil(NYM)        |  30.01|  32.60|  34.47|  26.97|  19.48|  +11%| 151|
|Jan12 Heating Oil(NYM)        |  30.02|  32.22|  33.51|  26.02|  18.52|  +15%| 183|
|Aug11 Gasoline(NYMEX)         |  29.57|  35.86|  40.41|  32.30|  24.18|   -8%|  29|
|Sep11 Gasoline(NYMEX)         |  31.08|  35.56|  37.96|  30.04|  22.13|   +3%|  60|
|Oct11 Gasoline(NYMEX)         |  31.54|  35.61|  37.12|  29.30|  21.48|   +7%|  92|
|Nov11 Gasoline(NYMEX)         |  31.66|  35.29|  36.14|  27.96|  19.79|  +13%| 121|
|Dec11 Gasoline(NYMEX)         |  31.17|  34.75|  35.51|  26.82|  18.13|  +16%| 151|
|Jan12 Gasoline(NYMEX)         |  30.83|  34.44|  34.91|  26.45|  17.99|  +16%| 183|
|Aug11 Natural Gas(NYM)        |  34.32|  33.98|  62.35|  45.32|  28.30|  -24%|  29|
|Sep11 Natural Gas(NYM)        |  35.46|  33.09|  58.06|  42.58|  27.10|  -16%|  60|
|Oct11 Natural Gas(NYM)        |  36.39|  31.99|  55.50|  40.52|  25.53|  -10%|  92|
|Nov11 Natural Gas(NYM)        |  34.25|  29.44|  48.52|  34.97|  21.41|   -2%| 121|
|Dec11 Natural Gas(NYM)        |  31.71|  26.92|  43.47|  30.76|  18.05|   +3%| 151|
|Jan12 Natural Gas(NYM)        |  30.77|  25.57|  41.91|  29.25|  16.60|   +5%| 183|
|Sep11 Coffee "C"(ICE)         |  37.23|  31.78|  53.41|  36.04|  18.68|   +3%|  39|
|Dec11 Coffee "C"(ICE)         |  35.73|  30.64|  48.21|  33.29|  18.37|   +7%| 130|
|Sep11 Cocoa(ICE)              |  28.30|  21.74|  43.05|  30.47|  17.88|   -7%|  39|
|Dec11 Cocoa(ICE)              |  28.76|  21.11|  40.91|  28.89|  16.88|   +0%| 130|
|Sep11 Lumber(CME)             |  45.62|  32.86|  34.67|  26.90|  19.14|  +69%|  60|
|Nov11 Lumber(CME)             |  32.95|  31.42|  31.97|  22.90|  13.83|  +43%| 123|
|Sep11 Orange Juice(ICE)       |  26.92|  24.13|  32.49|  22.70|  12.90|  +18%|  39|
|Nov11 Orange Juice(ICE)       |  27.72|  19.27|  30.89|  21.32|  11.74|  +30%| 102|
|Jan12 Orange Juice(ICE)       |  22.41|  17.37|  30.53|  21.11|  11.70|   +6%| 158|
|Mar12 Orange Juice(ICE)       |  24.05|  16.56|  29.78|  20.44|  11.10|  +17%| 221|
\==================================================================================//==================================================================================\
|           Contract           |  IV   |  HV   | +1SD  | CTHV  | -1SD  |IV+-% |D2EX|
|==============================|=======|=======|=======|=======|=======|======|====|
|Aug11 Live Cattle(CME)        |  19.31|  22.04|  17.53|  13.35|   9.16|  +44%|  39|
|Oct11 Live Cattle(CME)        |  17.62|  19.05|  14.72|  11.30|   7.87|  +55%| 102|
|Dec11 Live Cattle(CME)        |  16.83|  18.04|  13.34|  10.03|   6.71|  +67%| 158|
|Feb12 Live Cattle(CME)        |  15.79|  17.36|  12.08|   9.06|   6.04|  +74%| 221|
|Aug11 Feeder Cattle(CME)      |  19.56|  18.94|  17.80|  13.71|   9.63|  +42%|  59|
|Sep11 Feeder Cattle(CME)      |  17.89|  18.59|  17.35|  13.18|   9.00|  +35%|  94|
|Oct11 Feeder Cattle(CME)      |  18.56|  18.04|  16.96|  12.94|   8.91|  +43%| 122|
|Nov11 Feeder Cattle(CME)      |  18.73|  17.50|  16.11|  12.26|   8.40|  +52%| 143|
|Jan12 Feeder Cattle(CME)      |  17.80|  16.03|  15.18|  11.55|   7.93|  +54%| 213|
|Jul11 Lean Hogs(CME)          |  19.72|  20.15|  28.48|  21.80|  15.13|   -9%|  17|
|Aug11 Lean Hogs(CME)          |  21.57|  20.34|  28.48|  22.00|  15.52|   -1%|  46|
|Oct11 Lean Hogs(CME)          |  20.27|  18.42|  27.37|  21.16|  14.95|   -4%| 109|
|Dec11 Lean Hogs(CME)          |  19.16|  18.65|  26.54|  20.06|  13.58|   -4%| 170|
|Feb12 Lean Hogs(CME)          |  18.33|  16.10|  22.27|  16.56|  10.85|  +10%| 232|
|Aug11 Soybeans(CBOT)          |  26.91|  15.00|  30.87|  23.49|  16.11|  +14%|  25|
|Sep11 Soybeans(CBOT)          |  25.60|  14.73|  31.58|  23.89|  16.21|   +7%|  60|
|Nov11 Soybeans(CBOT)          |  23.80|  14.62|  32.15|  24.18|  16.20|   -1%| 116|
|Jan12 Soybeans(CBOT)          |  23.57|  14.20|  31.44|  23.53|  15.62|   +0%| 179|
|Mar12 Soybeans(CBOT)          |  23.93|  13.66|  30.99|  23.01|  15.03|   +4%| 242|
|Aug11 Soybean Oil(CBOT)       |  20.22|  12.35|  29.15|  22.31|  15.47|   -9%|  25|
|Sep11 Soybean Oil(CBOT)       |  21.56|  12.34|  28.56|  21.97|  15.38|   -1%|  60|
|Oct11 Soybean Oil(CBOT)       |  21.22|  12.27|  27.12|  21.27|  15.41|   +0%|  88|
|Dec11 Soybean Oil(CBOT)       |  21.19|  12.30|  28.72|  22.03|  15.34|   -3%| 151|
|Jan12 Soybean Oil(CBOT)       |  20.39|  12.04|  28.10|  21.51|  14.91|   -5%| 179|
|Mar12 Soybean Oil(CBOT)       |  21.41|  11.83|  27.21|  21.20|  15.20|   +0%| 242|
|Aug11 Soybean Meal(CBOT)      |  25.73|  20.80|  35.74|  27.22|  18.71|   -5%|  25|
|Sep11 Soybean Meal(CBOT)      |  24.74|  19.29|  35.13|  26.92|  18.70|   -8%|  60|
|Oct11 Soybean Meal(CBOT)      |  22.33|  19.50|  36.82|  27.51|  18.20|  -18%|  88|
|Dec11 Soybean Meal(CBOT)      |  21.98|  19.86|  37.10|  27.71|  18.31|  -20%| 151|
|Jan12 Soybean Meal(CBOT)      |  21.95|  19.69|  37.13|  27.43|  17.74|  -19%| 179|
|Mar12 Soybean Meal(CBOT)      |  20.97|  19.06|  36.39|  26.87|  17.36|  -21%| 242|
|Sep11 Corn(CBOT)              |  42.50|  35.37|  34.97|  27.55|  20.12|  +54%|  60|
|Dec11 Corn(CBOT)              |  36.73|  35.38|  33.82|  26.70|  19.59|  +37%| 151|
|Mar12 Corn(CBOT)              |  34.72|  34.26|  32.14|  25.05|  17.96|  +38%| 242|
|Sep11 Wheat(CBOT)             |  41.11|  39.45|  37.84|  28.69|  19.53|  +43%|  60|
|Dec11 Wheat(CBOT)             |  36.17|  35.15|  36.06|  27.12|  18.19|  +33%| 151|
|Mar12 Wheat(CBOT)             |  34.31|  33.10|  34.36|  25.51|  16.67|  +34%| 242|
|Sep11 Wheat(KCBT)             |  33.24|  33.36|  34.66|  26.36|  18.06|  +26%|  95|
|Dec11 Wheat(KCBT)             |  32.10|  31.78|  32.67|  24.84|  17.02|  +29%| 186|
|Mar12 Wheat(KCBT)             |  30.92|  30.79|  32.26|  24.13|  16.01|  +28%| 277|
|Sep11 Wheat(MGE)              |  39.79|  32.93|  32.78|  24.41|  16.04|  +63%|  95|
|Dec11 Wheat(MGE)              |  37.83|  31.36|  31.69|  23.33|  14.98|  +62%| 186|
|Mar12 Wheat(MGE)              |  34.07|  30.13|  31.24|  22.33|  13.41|  +52%| 277|
|Sep11 Oats(CBOT)              |  31.70|  34.20|  45.43|  33.98|  22.53|   -6%|  60|
|Dec11 Oats(CBOT)              |  28.33|  32.86|  41.52|  31.32|  21.11|   -9%| 151|
|Oct11 Cotton(ICE)             |  45.97|  36.65|  32.24|  24.92|  17.59|  +84%|  81|
|Dec11 Cotton(ICE)             |  45.53|  41.32|  30.14|  23.15|  16.16|  +96%| 137|
|Mar12 Cotton(ICE)             |  44.15|  40.02|  28.27|  21.34|  14.41| +106%| 228|
|Oct11 Sugar #11(ICE)          |  40.01|  29.07|  39.70|  30.49|  21.27|  +31%|  74|
|Mar12 Sugar #11(ICE)          |  36.52|  27.06|  32.18|  24.81|  17.44|  +47%| 228|
|Sep11 S & P 500(CME)          |  18.27|  17.36|  21.46|  16.20|  10.93|  +12%|  80|
|Dec11 S & P 500(CME)          |  19.78|  17.44|  21.56|  16.22|  10.87|  +21%| 171|
|Sep11 NASDAQ 100(CME)         |  20.25|  19.81|  37.29|  26.07|  14.84|  -22%|  80|
|Sep11 30-Year T-Bonds(CBOT)   |  11.88|   9.65|  12.66|   9.49|   6.31|  +25%|  60|
|Dec11 30-Year T-Bonds(CBOT)   |  11.95|  10.30|  13.02|   9.90|   6.78|  +20%| 151|
|Sep11 10-Year T-Notes(CBOT)   |   7.31|   6.10|   8.40|   6.34|   4.28|  +15%|  60|
|Dec11 10-Year T-Notes(CBOT)   |   7.38|   6.25|   8.69|   6.52|   4.35|  +13%| 151|
|Sep11 5-Year T-Notes(CBOT)    |   4.66|   3.98|   6.14|   4.52|   2.90|   +3%|  60|
|Aug11 Gold(CMX)               |  14.22|  11.88|  24.47|  16.39|   8.31|  -13%|  29|
|Oct11 Gold(CMX)               |  15.86|  11.88|  24.43|  16.38|   8.33|   -3%|  91|
|Dec11 Gold(CMX)               |  17.05|  11.85|  24.39|  16.35|   8.32|   +4%| 150|
|Sep11 Copper(CMX)             |  22.20|  17.11|  46.02|  29.52|  13.02|  -24%|  59|
|Dec11 Copper(CMX)             |  24.07|  16.86|  43.46|  27.81|  12.15|  -13%| 150|
|Sep11 Silver(CMX)             |  40.31|  37.52|  43.35|  26.55|   9.74|  +51%|  59|
|Dec11 Silver(CMX)             |  39.80|  37.52|  42.85|  26.30|   9.76|  +51%| 150|
|Sep11 Swiss Franc(CME)        |  12.50|   8.33|  13.63|  10.46|   7.29|  +19%|  74|
|Dec11 Swiss Franc(CME)        |  12.62|   8.31|  13.59|  10.43|   7.28|  +20%| 165|
|Sep11 EuroFX(CME)             |  13.72|  13.34|  13.23|  10.42|   7.61|  +31%|  74|
|Dec11 EuroFX(CME)             |  13.64|  13.16|  13.18|  10.38|   7.58|  +31%| 165|
|Sep11 Japanese Yen(CME)       |   9.72|   7.25|  15.98|  11.21|   6.44|  -13%|  74|
|Dec11 Japanese Yen(CME)       |  10.74|   7.24|  15.94|  11.16|   6.37|   -3%| 165|
|Sep11 Canadian Dollar(CME)    |   9.72|  10.37|  11.69|   7.73|   3.77|  +25%|  74|
|Dec11 Canadian Dollar(CME)    |  10.01|  10.32|  11.65|   7.70|   3.75|  +30%| 165|
|Sep11 British Pound(CME)      |  10.01|   8.92|  12.05|   8.81|   5.57|  +13%|  74|
|Dec11 British Pound(CME)      |  10.59|   8.90|  12.06|   8.81|   5.56|  +20%| 165|
|Sep11 Australian Dollar(CME)  |  13.48|  10.09|  17.72|  12.20|   6.68|  +10%|  74|
|Dec11 Australian Dollar(CME)  |  14.18|  10.02|  17.74|  12.20|   6.66|  +16%| 165|
|Sep11 US Dollar Index(ICE)    |  10.87|  11.01|  10.97|   8.49|   6.01|  +28%|  74|
|Dec11 US Dollar Index(ICE)    |  11.26|  11.00|  10.94|   8.50|   6.07|  +32%| 165|
|Aug11 Crude Oil(NYM)          |  31.47|  33.85|  41.59|  33.39|  25.19|   -5%|  18|
|Sep11 Crude Oil(NYM)          |  31.41|  33.48|  37.84|  30.85|  23.86|   +1%|  51|
|Oct11 Crude Oil(NYM)          |  31.35|  33.02|  35.77|  28.96|  22.15|   +8%|  80|
|Nov11 Crude Oil(NYM)          |  31.81|  32.42|  34.43|  27.60|  20.76|  +15%| 112|
|Dec11 Crude Oil(NYM)          |  31.96|  31.84|  33.41|  26.48|  19.54|  +20%| 143|
|Jan12 Crude Oil(NYM)          |  31.49|  31.30|  32.71|  25.71|  18.70|  +22%| 171|
|Feb12 Crude Oil(NYM)          |  31.24|  30.77|  32.10|  25.09|  18.08|  +24%| 204|
|Aug11 Heating Oil(NYM)        |  28.35|  34.54|  39.64|  32.30|  24.97|  -12%|  29|
|Sep11 Heating Oil(NYM)        |  29.30|  34.02|  38.12|  30.69|  23.26|   -4%|  60|
|Oct11 Heating Oil(NYM)        |  29.22|  33.47|  36.75|  29.28|  21.81|   +0%|  92|
|Nov11 Heating Oil(NYM)        |  29.72|  33.06|  35.52|  28.03|  20.54|   +6%| 121|
|Dec11 Heating Oil(NYM)        |  30.01|  32.60|  34.47|  26.97|  19.48|  +11%| 151|
|Jan12 Heating Oil(NYM)        |  30.02|  32.22|  33.51|  26.02|  18.52|  +15%| 183|
|Aug11 Gasoline(NYMEX)         |  29.57|  35.86|  40.41|  32.30|  24.18|   -8%|  29|
|Sep11 Gasoline(NYMEX)         |  31.08|  35.56|  37.96|  30.04|  22.13|   +3%|  60|
|Oct11 Gasoline(NYMEX)         |  31.54|  35.61|  37.12|  29.30|  21.48|   +7%|  92|
|Nov11 Gasoline(NYMEX)         |  31.66|  35.29|  36.14|  27.96|  19.79|  +13%| 121|
|Dec11 Gasoline(NYMEX)         |  31.17|  34.75|  35.51|  26.82|  18.13|  +16%| 151|
|Jan12 Gasoline(NYMEX)         |  30.83|  34.44|  34.91|  26.45|  17.99|  +16%| 183|
|Aug11 Natural Gas(NYM)        |  34.32|  33.98|  62.35|  45.32|  28.30|  -24%|  29|
|Sep11 Natural Gas(NYM)        |  35.46|  33.09|  58.06|  42.58|  27.10|  -16%|  60|
|Oct11 Natural Gas(NYM)        |  36.39|  31.99|  55.50|  40.52|  25.53|  -10%|  92|
|Nov11 Natural Gas(NYM)        |  34.25|  29.44|  48.52|  34.97|  21.41|   -2%| 121|
|Dec11 Natural Gas(NYM)        |  31.71|  26.92|  43.47|  30.76|  18.05|   +3%| 151|
|Jan12 Natural Gas(NYM)        |  30.77|  25.57|  41.91|  29.25|  16.60|   +5%| 183|
|Sep11 Coffee "C"(ICE)         |  37.23|  31.78|  53.41|  36.04|  18.68|   +3%|  39|
|Dec11 Coffee "C"(ICE)         |  35.73|  30.64|  48.21|  33.29|  18.37|   +7%| 130|
|Sep11 Cocoa(ICE)              |  28.30|  21.74|  43.05|  30.47|  17.88|   -7%|  39|
|Dec11 Cocoa(ICE)              |  28.76|  21.11|  40.91|  28.89|  16.88|   +0%| 130|
|Sep11 Lumber(CME)             |  45.62|  32.86|  34.67|  26.90|  19.14|  +69%|  60|
|Nov11 Lumber(CME)             |  32.95|  31.42|  31.97|  22.90|  13.83|  +43%| 123|
|Sep11 Orange Juice(ICE)       |  26.92|  24.13|  32.49|  22.70|  12.90|  +18%|  39|
|Nov11 Orange Juice(ICE)       |  27.72|  19.27|  30.89|  21.32|  11.74|  +30%| 102|
|Jan12 Orange Juice(ICE)       |  22.41|  17.37|  30.53|  21.11|  11.70|   +6%| 158|
|Mar12 Orange Juice(ICE)       |  24.05|  16.56|  29.78|  20.44|  11.10|  +17%| 221|
\==================================================================================/
Last Updated on Thursday, 26 January 2017 11:30  
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