Website charts: https://www.mrci.com/client/options MRCI's Implied Volatility Data as of Thursday October 01, 2020 /==================================================================================\ | Contract | IV | HV | +1SD | CTHV | -1SD |IV+-% |D2EX| |==============================|=======|=======|=======|=======|=======|======|====| |Dec20 Eurodollars(CME) | 99.02| 41.36| 75.25| 42.74| 10.24| +131%| 74| |Mar21 Natural Gas(NYM) | 62.11| 22.52| 39.23| 28.43| 17.63| +118%| 145| |Feb21 Class III Milk(CME) | 21.88| 7.98| 14.01| 10.07| 6.13| +117%| 152| |Feb21 Natural Gas(NYM) | 63.20| 25.57| 40.27| 29.59| 18.91| +113%| 117| |Nov20 Natural Gas(NYM) | 82.05| 56.82| 55.21| 39.96| 24.72| +105%| 26| |Jan21 Natural Gas(NYM) | 62.53| 26.60| 41.66| 30.76| 19.86| +103%| 88| |Jan21 Class III Milk(CME) | 23.14| 15.12| 16.59| 12.09| 7.60| +91%| 124| |Dec20 NASDAQ 100 E-Mini(CME) | 34.13| 37.25| 30.56| 17.88| 5.20| +90%| 78| |Dec20 Natural Gas(NYM) | 63.49| 29.97| 45.13| 33.38| 21.63| +90%| 55| |Apr21 Natural Gas(NYM) | 44.63| 15.05| 34.60| 23.69| 12.79| +88%| 176| |Dec20 E-mini DJIA Index(CBOT) | 26.40| 20.61| 24.58| 14.14| 3.69| +86%| 78| |Dec20 S & P 500 E-Mini(CME) | 27.34| 24.18| 28.19| 15.44| 2.68| +77%| 78| |Nov20 Class III Milk(CME) | 33.45| 31.24| 27.63| 19.55| 11.48| +71%| 61| |Dec20 Class III Milk(CME) | 28.50| 22.68| 23.63| 16.87| 10.11| +68%| 89| |Mar21 Eurodollars(CME) | 87.50| 50.05| 86.41| 52.33| 18.25| +67%| 165| |May21 RBOB Gasoline(NYM) | 44.17| 33.06| 39.78| 26.79| 13.80| +64%| 208| |Apr21 RBOB Gasoline(NYM) | 43.35| 34.17| 40.44| 27.33| 14.22| +58%| 176| |Feb21 NY Harbor ULSD(NYM) | 42.92| 38.01| 39.88| 27.19| 14.51| +57%| 117| |Mar21 NY Harbor ULSD(NYM) | 42.04| 37.02| 39.08| 26.62| 14.16| +57%| 145| |Dec20 NY Harbor ULSD(NYM) | 44.83| 40.23| 42.21| 28.68| 15.16| +56%| 55| |Jan21 NY Harbor ULSD(NYM) | 43.46| 39.10| 40.87| 27.88| 14.89| +55%| 88| |Mar21 RBOB Gasoline(NYM) | 45.79| 38.65| 44.31| 30.09| 15.87| +52%| 145| |Feb21 RBOB Gasoline(NYM) | 45.85| 39.95| 45.22| 30.72| 16.21| +49%| 117| |Jan21 RBOB Gasoline(NYM) | 46.43| 41.19| 46.22| 31.39| 16.56| +47%| 88| |Nov20 NY Harbor ULSD(NYM) | 42.87| 41.48| 43.72| 29.58| 15.44| +44%| 26| |Dec20 RBOB Gasoline(NYM) | 46.90| 42.46| 47.69| 32.36| 17.04| +44%| 55| |Jan21 Crude Oil(NYM) | 45.68| 46.05| 47.53| 32.06| 16.59| +42%| 76| |Feb21 Brent Crude Oil(ICE) | 42.42| 40.20| 44.38| 29.75| 15.11| +42%| 84| |Feb21 Crude Oil(NYM) | 44.06| 44.41| 46.40| 31.14| 15.87| +41%| 106| |Mar21 Crude Oil(NYM) | 43.02| 42.96| 45.34| 30.32| 15.30| +41%| 139| |Mar21 Brent Crude Oil(ICE) | 41.36| 39.12| 43.59| 29.17| 14.75| +41%| 116| |Jan21 Brent Crude Oil(ICE) | 42.42| 41.63| 45.51| 30.51| 15.52| +39%| 54| |Apr21 Live Cattle(CME) | 16.13| 9.37| 16.60| 11.64| 6.68| +38%| 183| |Dec20 Crude Oil(NYM) | 45.96| 47.73| 48.76| 33.13| 17.49| +38%| 47| |May21 Rough Rice(CBOT) | 25.27| 15.49| 23.86| 18.24| 12.62| +38%| 204| |Nov20 RBOB Gasoline(NYM) | 47.17| 43.42| 51.28| 34.49| 17.70| +36%| 26| |Dec20 London Cocoa(LCE) | 29.23| 26.43| 25.54| 21.40| 17.26| +36%| 60| |Feb21 Live Cattle(CME) | 17.52| 11.02| 17.89| 12.99| 8.09| +34%| 127| |Dec20 Cocoa(ICE) | 34.38| 29.76| 31.21| 25.52| 19.84| +34%| 36| |Dec20 Coffee "C"(ICE) | 42.35| 43.38| 40.09| 31.81| 23.52| +33%| 42| |Nov20 Crude Oil(NYM) | 45.50| 49.52| 50.03| 34.37| 18.72| +32%| 14| |Dec20 Live Cattle(CME) | 20.00| 13.34| 20.44| 15.20| 9.95| +31%| 64| |Dec20 Lean Hogs(CME) | 36.58| 41.00| 39.25| 27.76| 16.26| +31%| 91| |Feb21 Lean Hogs(CME) | 30.17| 27.79| 32.32| 23.20| 14.08| +30%| 148| |Mar21 Rough Rice(CBOT) | 24.56| 17.14| 24.45| 18.81| 13.17| +30%| 141| |Dec20 Silver(CMX) | 45.37| 56.38| 62.24| 35.62| 8.99| +27%| 55| |Dec20 Brent Crude Oil(ICE) | 39.89| 43.24| 46.61| 31.25| 15.90| +27%| 25| |Dec20 British Pound(CME) | 11.57| 11.89| 11.93| 9.21| 6.49| +25%| 64| |Dec20 British Pound(CME) | 11.57| 11.89| 11.93| 9.21| 6.49| +25%| 64| |Mar21 Feeder Cattle(CME) | 16.52| 13.79| 18.51| 13.31| 8.11| +24%| 175| |Mar21 Coffee "C"(ICE) | 37.81| 41.21| 38.44| 30.67| 22.91| +23%| 133| |Apr21 Feeder Cattle(CME) | 15.71| 12.73| 18.01| 12.78| 7.54| +22%| 210| |Apr21 Lean Hogs(CME) | 25.07| 20.44| 27.43| 20.40| 13.38| +22%| 211| |Mar21 Cocoa(ICE) | 29.44| 27.08| 29.78| 23.96| 18.14| +22%| 127| |Jan21 Feeder Cattle(CME) | 17.31| 14.57| 19.46| 14.29| 9.13| +21%| 119| |Mar21 Silver(CMX) | 43.31| 56.08| 62.12| 35.52| 8.91| +21%| 145| |May21 Coffee "C"(ICE) | 35.63| 40.27| 37.39| 29.84| 22.29| +19%| 190| |Nov20 London Coffee(LCE) | 30.28| 21.71| 33.81| 25.65| 17.48| +18%| 20| |Jan21 London Coffee(LCE) | 27.63| 20.13| 30.92| 23.32| 15.72| +18%| 76| |Mar21 London Cocoa(LCE) | 23.95| 19.97| 24.42| 20.20| 15.98| +18%| 148| |May21 Cocoa(ICE) | 27.18| 25.10| 29.07| 23.27| 17.47| +16%| 183| |May21 London Coffee(LCE) | 25.63| 18.79| 29.26| 22.03| 14.79| +16%| 202| |May21 London Cocoa(LCE) | 22.41| 17.96| 23.77| 19.50| 15.23| +14%| 211| |Mar21 London Coffee(LCE) | 25.77| 19.41| 29.98| 22.61| 15.23| +13%| 139| |Dec20 Gold(CMX) | 20.66| 16.14| 30.78| 18.41| 6.03| +12%| 55| |Apr21 Gold(CMX) | 20.43| 16.18| 30.77| 18.39| 6.01| +11%| 175| |Feb21 Gold(CMX) | 20.40| 16.12| 30.77| 18.40| 6.02| +10%| 117| |Nov20 Orange Juice(ICE) | 34.57| 30.74| 43.08| 31.42| 19.77| +10%| 1| |Nov20 Feeder Cattle(CME) | 16.67| 15.17| 20.65| 15.40| 10.15| +8%| 49| |Dec20 Wheat(KCBT) | 27.44| 34.11| 35.59| 26.66| 17.74| +2%| 50| |Jan21 Rough Rice(CBOT) | 19.46| 17.45| 25.09| 19.44| 13.78| +0%| 85| |Mar21 Copper(CMX) | 24.51| 30.77| 37.19| 25.67| 14.15| -4%| 145| |Oct20 Live Cattle(CME) | 15.16| 10.37| 21.84| 15.97| 10.11| -5%| 1| |Oct20 Feeder Cattle(CME) | 14.34| 14.63| 20.40| 15.11| 9.81| -5%| 28| |Dec20 Australian Dollar(CME) | 11.03| 10.15| 18.05| 11.79| 5.53| -6%| 64| |Dec20 Australian Dollar(CME) | 11.03| 10.15| 18.05| 11.79| 5.53| -6%| 64| |Dec20 Copper(CMX) | 24.40| 31.26| 37.83| 26.18| 14.54| -6%| 55| |Nov20 Rough Rice(CBOT) | 18.78| 19.50| 25.87| 20.09| 14.31| -6%| 22| |Dec20 Soybean Oil(CBOT) | 20.70| 24.26| 30.91| 22.43| 13.94| -7%| 50| |Mar21 Soybean Oil(CBOT) | 20.30| 21.93| 30.26| 21.90| 13.53| -7%| 141| |May21 Soybean Oil(CBOT) | 19.91| 21.05| 29.70| 21.41| 13.12| -7%| 204| |Dec20 Soybean Meal(CBOT) | 23.99| 25.80| 34.71| 25.85| 16.99| -7%| 50| |Dec20 30-Year T-Bonds(CBOT) | 9.62| 6.67| 14.48| 10.36| 6.24| -7%| 50| |Jan21 Orange Juice(ICE) | 27.14| 28.98| 40.32| 29.24| 18.15| -7%| 64| |Dec20 London Sugar(LCE) | 23.73| 20.56| 33.02| 25.55| 18.09| -7%| 31| |Jan21 Soybean Oil(CBOT) | 20.23| 23.27| 30.67| 22.20| 13.73| -8%| 85| |Dec20 US Dollar Index(ICE) | 6.91| 5.42| 10.81| 7.66| 4.52| -9%| 64| |Dec20 US Dollar Index(ICE) | 6.91| 5.42| 10.81| 7.66| 4.52| -9%| 64| |Mar21 Wheat(KCBT) | 22.96| 32.80| 34.60| 25.65| 16.69| -10%| 141| |May21 Wheat(KCBT) | 22.08| 31.21| 33.30| 24.65| 16.00| -10%| 204| |Dec20 EuroFX(CME) | 7.64| 6.01| 12.46| 8.66| 4.87| -11%| 64| |Dec20 EuroFX(CME) | 7.64| 6.01| 12.46| 8.66| 4.87| -11%| 64| |Mar21 Orange Juice(ICE) | 24.66| 27.81| 38.44| 27.95| 17.46| -11%| 127| |Oct20 Lean Hogs(CME) | 23.36| 38.47| 36.33| 26.67| 17.01| -12%| 29| |Jan21 Soybean Meal(CBOT) | 22.19| 23.69| 34.28| 25.33| 16.39| -12%| 85| |Mar21 Soybean Meal(CBOT) | 21.23| 21.05| 33.63| 24.36| 15.10| -12%| 141| |Dec20 Japanese Yen(CME) | 7.91| 3.63| 12.78| 9.08| 5.37| -12%| 64| |Dec20 Japanese Yen(CME) | 7.91| 3.63| 12.78| 9.08| 5.37| -12%| 64| |Oct20 Class III Milk(CME) | 16.66| 38.05| 27.08| 19.50| 11.92| -14%| 33| |May21 Soybean Meal(CBOT) | 19.65| 18.83| 32.56| 23.35| 14.15| -15%| 204| |May21 Cotton(ICE) | 18.92| 12.87| 30.07| 22.52| 14.97| -15%| 197| |May21 Orange Juice(ICE) | 22.66| 27.16| 37.08| 27.05| 17.01| -16%| 183| |May21 Wheat(MGE) | 18.09| 19.06| 30.00| 22.29| 14.59| -18%| 204| |Mar21 Cotton(ICE) | 19.59| 13.45| 32.08| 23.99| 15.91| -18%| 134| |May21 London Sugar(LCE) | 18.23| 19.03| 30.09| 22.46| 14.82| -18%| 182| |Nov20 Soybeans(CBOT) | 18.95| 19.79| 31.73| 23.43| 15.12| -19%| 22| |Dec20 Wheat(CBOT) | 23.29| 30.07| 39.76| 29.05| 18.34| -19%| 50| |May21 Sugar #11(ICE) | 23.66| 24.84| 40.40| 29.32| 18.23| -19%| 196| |Mar21 Soybeans(CBOT) | 17.71| 17.46| 30.92| 22.40| 13.88| -20%| 141| |Dec20 Canadian Dollar(CME) | 7.15| 7.78| 12.35| 8.96| 5.57| -20%| 64| |Dec20 Canadian Dollar(CME) | 7.15| 7.78| 12.35| 8.96| 5.57| -20%| 64| |May21 Wheat(CBOT) | 20.27| 26.67| 35.64| 25.86| 16.08| -21%| 204| |Dec20 Wheat(MGE) | 19.69| 21.99| 33.28| 25.07| 16.86| -21%| 50| |Mar21 Wheat(MGE) | 18.47| 21.07| 31.66| 23.53| 15.41| -21%| 141| |Mar21 Sugar #11(ICE) | 25.08| 26.78| 43.63| 31.93| 20.24| -21%| 137| |Dec20 Cotton(ICE) | 19.86| 14.66| 33.63| 25.53| 17.42| -22%| 43| |Mar21 Wheat(CBOT) | 20.77| 28.70| 37.39| 27.22| 17.04| -23%| 141| |Jan21 Soybeans(CBOT) | 17.32| 19.41| 31.35| 23.00| 14.65| -24%| 85| |Mar21 London Sugar(LCE) | 18.21| 20.76| 32.02| 23.97| 15.92| -24%| 123| |May21 Soybeans(CBOT) | 16.12| 15.37| 30.03| 21.52| 13.01| -25%| 204| |May21 Corn(CBOT) | 18.76| 19.60| 37.20| 26.40| 15.60| -28%| 204| |Mar21 Corn(CBOT) | 19.28| 20.31| 38.29| 27.31| 16.33| -29%| 141| |Dec20 Corn(CBOT) | 20.06| 21.59| 39.94| 28.80| 17.65| -30%| 50| |Dec20 Swiss Franc(CME) | 7.37| 5.99| 19.09| 10.57| 2.05| -30%| 64| |Dec20 10-Year T-Notes(CBOT) | 3.47| 2.56| 8.62| 5.65| 2.67| -38%| 50| \==================================================================================/ 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. If you have any questions, please just let us know. 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