May 9, 2011

Commodities Volatility

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.

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