Weekly Realized Volatility Rankings

 
Close,Week Ending
Change
Percentile
 Symbol
Index Name         
10 Jan 2020 
17 Jan 2020 
Value
Percent
17 Jan 2020
 VOLmKC
RealVol Coffee Indices
46.95
38.42
-8.53
-18.17%
77.56
 VOLmLN
RealVol Lean Hogs Indices
21.59
24.42
2.83
13.11%
71.13
 VOLmFC
RealVol Feeder Cattle Indices
14.81
13.01
-1.80
-12.15%
58.41
 VOLmCC
RealVol Cocoa Indices
27.21
29.40
2.19
8.05%
57.00
 VOLmC
RealVol Corn Indices
13.10
18.50
5.40
41.22%
52.58
 VOLmNG
RealVol Natural Gas Indices
41.87
42.81
0.94
2.25%
48.39
 VOLmR
RealVol Long Gilt Indices
5.33
5.42
0.09
1.69%
45.85
 VOLmBL
RealVol Euro-Bund Indices
4.48
4.29
-0.19
-4.24%
41.81
 VOLmOJ
RealVol Orange Juice Indices
21.87
22.49
0.62
2.83%
39.43
 VOLmBP
RealVol GBP/USD Indices
10.91
7.64
-3.27
-29.97%
33.84
 VOLmBO
RealVol Soybean Oil Indices
19.61
17.49
-2.12
-10.81%
32.03
 VOLmCL
RealVol Crude Oil Indices
23.45
23.41
-0.04
-0.17%
28.49
 VOLmG
RealVol Gasoil Indices
18.46
17.97
-0.49
-2.65%
21.20
 VOLmB
RealVol Brent Crude Oil Indices
22.39
21.83
-0.56
-2.50%
20.93
 VOLmHO
RealVol Heating Oil Indices
20.09
18.78
-1.31
-6.52%
20.85
 VOLmGC
RealVol Gold Indices
9.64
10.08
0.44
4.56%
20.31
 VOLmYM
RealVol Indu 30 Indices
8.20
8.31
0.11
1.34%
18.62
 VOLmW
RealVol Wheat Indices
18.69
14.34
-4.35
-23.27%
17.40
 VOLmNQ
RealVol Tech 100 Indices
10.48
10.83
0.35
3.34%
15.71
 VOLmSI
RealVol Silver Indices
13.93
15.24
1.31
9.40%
15.70
 VOLmLC
RealVol Live Cattle Indices
11.68
9.39
-2.29
-19.61%
15.68
 VOLmUS
RealVol U.S. Treasury Bond Indices
8.97
6.70
-2.27
-25.31%
15.62
 VOLmRB
RealVol NYH RBOB Gas Indices
24.30
22.80
-1.50
-6.17%
15.42
 VOLmBM
RealVol Euro-Bobl Indices
1.83
1.75
-0.08
-4.37%
14.22
 VOLmSB
RealVol Sugar Indices
20.68
20.92
0.24
1.16%
12.28
 VOLmES
RealVol US 500 Indices
7.64
7.61
-0.03
-0.39%
12.09
 VOLmTU
RealVol 2 Yr Note Indices
0.81
0.57
-0.24
-29.63%
11.97
 VOLmSM
RealVol Soybean Meal Indices
13.76
11.92
-1.84
-13.37%
11.84
 VOLmSPY
RealVol SPY Indices
7.60
7.62
0.02
0.26%
9.64
 VOLmNK
RealVol Japan 225 Indices
12.33
11.44
-0.89
-7.22%
7.27
 VOLmBS
RealVol Euro-Schatz Indices
0.32
0.30
-0.02
-6.25%
7.15
 VOLmCT
RealVol Cotton Indices
12.39
12.27
-0.12
-0.97%
5.96
 VOLmFV
RealVol 5 Yr Note Indices
2.59
1.82
-0.77
-29.73%
5.58
 VOLmTY
RealVol 10 Yr Note Indices
4.48
3.09
-1.39
-31.03%
5.15
 VOLmEC
RealVol EUR/USD Indices
4.55
4.51
-0.04
-0.88%
4.68
 VOLmHG
RealVol Copper Indices
11.01
11.48
0.47
4.27%
4.30
 VOLmS
RealVol Soybean Indices
11.44
10.20
-1.24
-10.84%
4.21
 VOLmSF
RealVol CHF/USD Indices
5.16
5.19
0.03
0.58%
3.95
 VOLmJY
RealVol USD/JPY Indices
5.01
4.40
-0.61
-12.18%
1.62
 VOLmMD
RealVol Mid 400 Indices
5.96
5.99
0.03
0.50%
0.67

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 1 year) 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 RVO 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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