blog

Latest from the Quantamize Blog

Implied Volatility Data of Liquid Macro Index ETFs for March 4th, 2019

Mar 04, 2019

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research
Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research

 

Implied Volatility Data For Liquid Macro Index ETFs

On Mobile/Tablet scroll to the right.

ETF 30D IV 30D IV
Percentile
90D IV 90D IV
Percentile
90D/30D IV 90D/30D IV
Percentile
30D IV-
20D HV
30D IV-20D HV
Percentile
90D IV-
60D HV
90D IV-60D HV
Percentile
SPY 11.17 36.9% 11.48 26.39% 1.03 32.94% 3.31 92.86% -9.59 0.4%
QQQ 13.78 16.27% 15.06 11.71% 1.09 77.58% 4.03 86.9% -11.76 5.56%
IWM 13.52 40.08% 13.98 37.1% 1.03 50.2% 3.52 78.97% -8.6 2.38%
FEZ 12.06 13.49% 14.22 32.14% 1.18 92.06% 0.52 53.17% -2.66 19.25%
EEM 16.4 17.86% 16.98 13.1% 1.04 63.89% 3.61 91.07% -1.09 53.97%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

Global Stock Indice Price Returns

 

 

Stock Model PortfoliosMulti-factor quantitatively optimized portfolios risk-adjusted to provide investors an ATTRACTIVERISK/RETURN TRADE-OFF
Stock Model PortfoliosMulti-factor quantitatively optimized portfolios risk-adjusted to provide investors an ATTRACTIVERISK/RETURN TRADE-OFF