30 Day Federal Funds Futures (ZQ)
Implied Volatility Analysis

Implied Volatility:

30 Day Federal Funds (ZQ) Futures have an Implied Volatility (IV) of 11.1% p.a. for a constant maturity of 30 days. The lowest IV reading within one year was 8.7% and the maximum was at 172.3%. We calculated an Implied Volatility Rank (IVR) of 1.5. The Implied Volatility Percentile (IVP) is 3.2 which means that looking at one year of data 3.2% of all IV readings were lower than 11.1. The latest IV reading is -0.9 standard deviations away from its 1 year mean. Implied volatility data and statistics for 30 Day Federal Funds (ZQ) was calculated after the 2/6/2023 market close from the futures options.

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