30 Day Federal Funds Futures (ZQ)
Implied Volatility Analysis

Implied Volatility:

30 Day Federal Funds (ZQ) Futures have an Implied Volatility (IV) of 20.9% p.a. for a constant maturity of 30 days. The lowest IV reading within one year was 8.7% and the maximum was at 51.8%. We calculated an Implied Volatility Rank (IVR) of 28.4. The Implied Volatility Percentile (IVP) is 27.4 which means that looking at one year of data 27.4% of all IV readings were lower than 20.9. The latest IV reading is -0.4 standard deviations away from its 1 year mean. Implied volatility data and statistics for 30 Day Federal Funds (ZQ) was calculated after the 6/8/2023 market close from the futures options.