Implied Volatility Analysis

6.9%

**5 Year US Treasury Note (ZF) Futures** have an **Implied Volatility (IV)** of **6.9%** p.a. for a constant maturity of 30 days. The lowest IV reading within one year was 2.4% and the maximum was at 7.7%. We calculated an **Implied Volatility Rank (IVR)** of **85.1**. The **Implied Volatility Percentile (IVP)** is **94.0** which means that looking at one year of data 94.0% of all IV readings were lower than 6.9. The latest IV reading is 1.6 standard deviations away from its 1 year mean. Implied volatility data and statistics for 5 Year US Treasury Note (ZF) was calculated after the 10/6/2022 market close from the futures options.

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