Weekly Realized Volatility Rankings

 
Close,Week Ending
Change
Percentile
 Symbol
Index Name         
16 Sep 2022 
23 Sep 2022 
Value
Percent
23 Sep 2022
 VOLmR
RealVol Long Gilt Indices
11.20
16.56
5.36
47.86%
99.94
 VOLmG
RealVol Gasoil Indices
57.00
58.46
1.46
2.56%
97.56
 VOLmW
RealVol Wheat Indices
43.59
49.09
5.50
12.62%
97.25
 VOLmCT
RealVol Cotton Indices
38.49
44.44
5.95
15.46%
97.17
 VOLmBP
RealVol GBP/USD Indices
10.26
15.82
5.56
54.19%
93.69
 VOLmBM
RealVol Euro-Bobl Indices
4.94
5.25
0.31
6.28%
93.42
 VOLmBL
RealVol Euro-Bund Indices
8.46
8.69
0.23
2.72%
93.22
 VOLmBO
RealVol Soybean Oil Indices
39.41
40.56
1.15
2.92%
92.87
 VOLmNG
RealVol Natural Gas Indices
68.65
73.41
4.76
6.93%
91.56
 VOLmSPY
RealVol SPY Indices
30.53
28.51
-2.02
-6.62%
91.37
 VOLmBS
RealVol Euro-Schatz Indices
1.90
2.02
0.12
6.32%
91.27
 VOLmB
RealVol Brent Crude Oil Indices
45.32
46.47
1.15
2.54%
89.98
 VOLmSM
RealVol Soybean Meal Indices
35.92
36.70
0.78
2.17%
88.52
 VOLmES
RealVol US 500 Indices
25.23
25.68
0.45
1.78%
88.12
 VOLmMD
RealVol Mid 400 Indices
24.74
26.54
1.80
7.28%
88.06
 VOLmTU
RealVol 2 Yr Note Indices
2.05
2.28
0.23
11.22%
87.99
 VOLmOJ
RealVol Orange Juice Indices
37.97
39.11
1.14
3.00%
87.62
 VOLmCL
RealVol Crude Oil Indices
44.58
46.81
2.23
5.00%
87.51
 VOLmS
RealVol Soybean Indices
33.59
32.34
-1.25
-3.72%
86.86
 VOLmHO
RealVol Heating Oil Indices
37.78
41.84
4.06
10.75%
85.51
 VOLmNQ
RealVol Tech 100 Indices
31.83
31.36
-0.47
-1.48%
84.45
 VOLmRB
RealVol NYH RBOB Gas Indices
46.99
45.22
-1.77
-3.77%
83.89
 VOLmTY
RealVol 10 Yr Note Indices
6.65
7.87
1.22
18.35%
81.33
 VOLmFV
RealVol 5 Yr Note Indices
4.46
4.74
0.28
6.28%
79.84
 VOLmUS
RealVol U.S. Treasury Bond Indices
12.08
12.82
0.74
6.13%
78.70
 VOLmSI
RealVol Silver Indices
29.61
31.40
1.79
6.05%
73.24
 VOLmJY
RealVol USD/JPY Indices
12.11
11.92
-0.19
-1.57%
72.89
 VOLmEC
RealVol EUR/USD Indices
9.36
10.32
0.96
10.26%
70.03
 VOLmLN
RealVol Lean Hogs Indices
30.45
24.15
-6.30
-20.69%
69.86
 VOLmHG
RealVol Copper Indices
23.22
25.27
2.05
8.83%
64.71
 VOLmC
RealVol Corn Indices
24.62
21.32
-3.30
-13.40%
63.78
 VOLmYM
RealVol Indu 30 Indices
11.81
11.81
0.00
0.00%
43.59
 VOLmGC
RealVol Gold Indices
12.81
13.44
0.63
4.92%
43.49
 VOLmSF
RealVol CHF/USD Indices
8.10
9.76
1.66
20.49%
42.60
 VOLmFC
RealVol Feeder Cattle Indices
10.73
10.56
-0.17
-1.58%
42.46
 VOLmKC
RealVol Coffee Indices
32.55
25.44
-7.11
-21.84%
33.48
 VOLmNK
RealVol Japan 225 Indices
15.22
16.01
0.79
5.19%
29.02
 VOLmCC
RealVol Cocoa Indices
26.03
22.70
-3.33
-12.79%
28.40
 VOLmSB
RealVol Sugar Indices
20.73
21.00
0.27
1.30%
12.26
 VOLmLC
RealVol Live Cattle Indices
8.98
8.73
-0.25
-2.78%
11.54

Please note: Each RealVol Index above refers to only VOLm, the 1-month realized volatility of the underlying asset. Percentile rankings of latest closing VOLm are based on all available data in the database (generally back to the very first listing day of the underlying asset) and refer to the percentage of all previous VOLm readings that were lower than the current level. The full suite of RealVol Indices encompasses other time frames (1 day, 1 week, 1 quarter, 1 half year, and 1year) other formulas (vol of vol, variance, correlation, overnight/intraday vol), and two cutting-edge models forecasting realized volatility (Rough vol and HARK vol). Please visit demandderivatives.com for information on traded derivatives and realvol.com for details relating to RealVol indices. Note that 40 gold indices are free on Quandl (find an orange button on the main page of realvol.com) and Bloomberg (type RVOL on a Bloomberg terminal) Subscriptions also available to receive all 1,600 indices 40 risk indices on 40 major underlying assets.


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