Implied Volatility Analysis

5.0%

**5 Year US Treasury Note (ZF) Futures** have an **Implied Volatility (IV)** of **5.0%** p.a. for a constant maturity of 30 days. The lowest IV reading within one year was 2.0% and the maximum was at 6.2%. We calculated an **Implied Volatility Rank (IVR)** of **71.1**. The **Implied Volatility Percentile (IVP)** is **81.1** which means that looking at one year of data 81.1% of all IV readings were lower than 5.0. The latest IV reading is 1.3 standard deviations away from its 1 year mean. Implied volatility data and statistics for 5 Year US Treasury Note (ZF) was calculated after the 5/20/2022 market close from the futures options.

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