5 Year US Treasury Note Futures (ZF)
Implied Volatility Analysis

Implied Volatility:

5 Year US Treasury Note (ZF) Futures have an Implied Volatility (IV) of 5.1% p.a. for a constant maturity of 30 days. The lowest IV reading within one year was 3.6% and the maximum was at 7.7%. We calculated an Implied Volatility Rank (IVR) of 36.5. The Implied Volatility Percentile (IVP) is 20.8 which means that looking at one year of data 20.8% of all IV readings were lower than 5.1. The latest IV reading is -0.7 standard deviations away from its 1 year mean. Implied volatility data and statistics for 5 Year US Treasury Note (ZF) was calculated after the 2/6/2023 market close from the futures options.

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