VolX Cones — Volatility Cones of VolX Indices

Select the desired asset below. Instructions can be found below the charts.

Asset Type: Asset: Look back:

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Sources of Underlying Data: Bloomberg L.P. and Commodity Systems, Inc.

VolX Cone Instructions

Hover the mouse over points to see their values in the aqua headers.

To delete or restore a line, click on its corresponding-colored dot in the aqua headers.

VolX cones provide historical information on the ranges of realized volatility for different time periods over various "look back" windows. Example: Equity Indices, S&P E-mini futures, Look back 1 year. Note how the volatilities "fan out," in cone-like fashion, as we move horizontally, from left to right, beginning with a 12-month volatility range and concluding with a 1-month range.

Seven colored lines are provided. For each time period, a maximum, minimum, median, and percentiles of 90%, 70%, 30%, and 10% are furnished. Each value should be interpreted as: x% of the time, volatility for this time period (horizontal axis) and for this look-back period (chosen above) was less than or equal to the value displayed in the aqua header. If, for example, the 90th percentile had a value of 45%, this would mean that only 10% of the time was realized volatility higher than 45% for that time period, while 90% of the time it was lower.

Click the Download Data button to import the current asset data into a spreadsheet, like Excel, or save as a comma delimited file.