Everyone is talking about recent spike in commodities volatility, some even going as far as to call it commodities crash. I calculated 30 day interpolated ATM IV for different commodity ETF, and it seems to me that it is only SLV is that is the outlier, USO vol spike is coincidental, and other commodities just have elevated volatility but not out of the norm. See for yourself.
SLV - silver
USO - oil
GLD - gold
UNG - natural gas
DBA - agricultural commodities basket holding coffee, cattle, cocoa, and sugar futures
JJC - copper
CORN - you should be able to guess this one
See more commodity volatility indexes here.
Subscribe to:
Post Comments (Atom)
Weekly market report
Wall st delivered a mixed bag of news with VIX, VNKY, and VSTOXX and their underlying markets almost unchanged. VXD - volatility index based...
-
As I am sure all of you know Russia has began a full scale war against my home country Ukraine. Please make no mistake - Putin's goal ...
-
Many investors are looking at VIX and VSTOXX indexes as a leading indicators of volatility in equity markets, however many are confused by t...
-
Deutsche Bank Currency Volatility Index was developed to provide an implied volatility benchmark for major currency markets. The index is d...
No comments:
Post a Comment