RealVol Cones — Volatility Cones of RealVol Daily Indices

Sources of Underlying Data: NYSE Arca

RealVol Cone Instructions

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

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

The RealVol Cone provides a trader with useful information on the relationship of RealVol Indices compared to historical ranges.  For example:  If one chooses a one-year look back period, the cone will display the highest 1-month realized volatility, the highest 2-month realized volatility, the highest 3-month realized volatility, etc., all the way out to one year.  Those steps are repeated to find the 90th percentile (i.e., where 10% of the observations are above and 90% are below) for each time period of 1-month, 2-months, 3-months, etc.  Those steps are again repeated for the 70th percentile, 50th percentile, 30th percentile, 10th percentile, and minimum.  Finally, the red dots are plotted on the cone showing the current RealVol Index level (VOLm, VOLq, and VOLy).

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