This Microsoft Excel® spreadsheet presents frequency distribution analysis of historical implied volatility (IV) data.
CQG offers its own historical options implied volatility index for popularly traded options on futures. The symbol format uses the underlying symbol, plus C for call or P for puts, and IV. For example, to see the daily chart for the E-min S&P futures call implied volatility, use "EPCIV."
Frequency distribution analysis simply counts the number of times a particular value occurs in a range of values. A simple explanation of frequency distribution analysis is found here.
Using histogram bars, this Excel spreadsheet reviews the past 200 bars using the time frame you enter, and reviews IV data for the primary session. You can enter the CQG IV symbol and the time frame. The last price for the IV, the net change, and the session's high and low are detailed.
Part of the display allows you to enter the symbol for an individual option. You can enter the ATM symbol, such as C.EP, or you can enter an option symbol that includes the expiry and the strike, such as C.US.EPH1519950. For this option, the current bid and ask, implied volatility, and days to expiration are displayed.
Excel displays the frequency distribution of the CQG IV index over the past 200 bars in a histogram format. The red histogram bar shows you where today's IV Index value is in this range of IV index values.
Requires CQG Integrated Client or CQG QTrader, data enablements for all symbols displayed in this spreadsheet, and Excel 2010 or more recent.