Historical volatility?

Discussion in 'Index Futures' started by heech, Feb 14, 2011.

  1. heech


    Hi there,

    Does anyone know of a resource where I can pull up historical implied vol (and hopefully realized volatility) for the major Eurex futures products? Euro Stoxx 50 is the main one I'm thinking of, of course.

    All the databases/resources I use currently only has data for US futures. Thanks.

    I should add, Im willing to buy.
  2. HVT function in BBG is the only thing that comes to mind.
  3. heech


    Do you have a reference to the capabilities of the HVT function, and/or related functions? I'm still contemplating buying BBG, and access to quality data like this would be a good motivating factor.
  4. It's nothing special, really... Just shows you the realized vols for the security in question over several different horizons, using a few different methodologies. Also it can overlay that with implied vols. I attach a scrshot for your viewing pleasure.
  5. heech


    That's EXACTLY what I'm looking for. Noticed you pulled that up for an index... What about futures contracts for which there isn't a spot? Will it work historically with front month contracts?
  6. Futures work fine, regardless of underlying. Try "KCA {Comdty} HIVG" or some such. Re front-month, BBG handles chained-together series of front (or second, or third...) month contracts, with or without roll adjustments, as you like. Use "GFUT" to set those parameters.
  7. Well, apart from the obvious issues (i.e. before the front contract becomes the front contract is it sufficiently liquid), it works the same with futures. You can use serial contracts, but the "stitching" isn't great. However, as Rodney points out, these things can be tweaked. Moreover, what futures contracts out there exists that doesn't have a spot? Ultimately, futures have to have a settlement value based on smth, right?
  8. heech


    You're probably right. My current setup is just based on the futures, and wanted to make sure I could get consistency of numbers there. I never look at the spot, but I can't think of a good reason why spot realized volatility would be significantly different from the front-month(s) future(s)...

    Anyways, BBG looks great, especially with ability to tweak futures. I'll probably have follow-up questions after I talk to my rep.

    PS. Just curious, how many different realized volatility calculations do they support? Is it just close to close?
  9. No, they do the usual alternatives, like Garman-Klass, Parkinson, etc...
  10. Right, but in many cases (say, coffee, sugar, cocoa) futures pricing is more transparent and precise than spot.
    #10     Feb 15, 2011