New Zealand Dollar Futures (6N)
Implied Volatility Analysis

Implied Volatility:

New Zealand Dollar (6N) Futures have an Implied Volatility (IV) of 13.6% p.a. for a constant maturity of 30 days. The lowest IV reading within one year was 8.2% and the maximum was at 15.1%. We calculated an Implied Volatility Rank (IVR) of 78.0. The Implied Volatility Percentile (IVP) is 96.1 which means that looking at one year of data 96.1% of all IV readings were lower than 13.6. The latest IV reading is 2.9 standard deviations away from its 1 year mean. Implied volatility data and statistics for New Zealand Dollar (6N) was calculated after the 5/20/2022 market close from the futures options.

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