Index Futures - SABR Curve

Black Vols / Business Calendar

Using SABR curve

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Our data and models were used in a major paper on the negative oil prices GCARD

Year End 2021 wrap up of commodity markets at YearEnd2021!

January 2022 wrap up of commodity markets at January 2022!

February 2022 wrap up of commodity markets at February 2022!

March 2022 wrap up of commodity markets at March 2022!

April 2022 wrap up of commodity markets at April 2022!

May 2022 wrap up of commodity markets at May 2022!

June 2022 wrap up of commodity markets at June 2022!

July 2022 wrap up of commodity markets at July 2022!

August 2022 wrap up of commodity markets at August 2022!

September 2022 wrap up of commodity markets at September 2022!

October 2022 wrap up of commodity markets at October 2022!

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20221125

Implied Volatility Skew Plot (Vol versus Moneyness)
Implied Volatility Skew Plot (Vol versus Moneyness)
Implied Volatility Skew Plot (Vol versus Moneyness)
Implied Volatility Skew Plot (Vol versus Moneyness)
Implied Volatility Skew Plot (Vol versus Moneyness)
Implied Volatility Skew Plot (Vol versus Moneyness)

This a quick view of implied volatility skews across many months or products.

Most of the time the plots of volatility by strike are smooth, sometimes settles are wonky. As a result, the curves can have a whipsaw effect. We make no effort to eliminate this. If you want smooth curves, navigate over to the curves section of the site.

The algorithm which picks which curve to show works on open interest. That can sometimes be a recently expired contract. Fret not, navigate over the the comparisons part of the site and you will find active ones.