More Commodity Volatility Indexes

CME announced that they will start disseminating two more volatility indexes - one for corn and another for soybeans. Current commodity volatility indexes are - GVZ/GVX for gold, OIV/OVX for crude, VXSLV for silver, and SAVI white maize index calculated by Johannesburg Stock Exchange. Since CME failed to generate any volume for their volatility contracts, and CBOE's recently lauched GVZ futures and options volume is still very small (and not growing) it is very likely that no derivatives will be listed on these instruments.
See more commodity volatility indexes here.

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.