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2 Year Note Historical Volatility




Volatility is measurement of the change in price over a given period. It is often expressed as a percentage and computed as the annualized standard deviation of the percentage change in daily price.

 

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Yearly
Average

1990           1.3 1.7 1.9 1.3 1.2 1.2 1.5 1.4
1991 1.3 1.5 1.8 1.3 0.9 1.6 1.0 2.2 0.6 1.3 1.0 1.4 1.3
1992 1.8 1.9 2.1 2.6 2.3 1.7 2.2 1.6 2.1 2.2 1.9 1.3 2.0
1993 1.8 1.8 2.0 1.0 1.2 1.8 1.5 1.0 1.8 0.9 1.6 1.0 1.5
1994 1.6 1.5 1.5 2.6 2.4 2.0 2.3 1.9 1.4 1.4 1.8 1.9 1.9
1995 2.0 2.6 1.7 1.2 2.0 3.3 1.9 1.6 1.7 0.9 1.2 1.4 1.8
1996 1.4 2.3 3.4 2.2 1.7 1.9 2.5 1.9 1.8 1.7 0.9 1.5 1.9
1997 1.5 1.4 1.1 1.5 1.2 1.2 1.1 1.5 1.2 1.9 0.6 1.2 1.3
1998 2.1 1.2 0.9 1.7 1.0 1.1 0.5 1.0 2.4 2.8 1.8 2.2 1.5
1999 1.6 1.3 1.1 1.4 1.6 1.6 1.2 1.8 1.6 1.5 1.0 1.3 1.4
2000 1.5 2.0 1.3 2.3 1.4 1.4 1.5 1.1 0.9 1.1 1.1 1.7 1.5
2001 2.6 1.8 2.0 2.5 1.7 1.7 1.5 1.5 3.3 1.4 3.7 2.7 2.2
2002 2.4 1.6 2.2 1.2 2.2 2.3 2.6 2.7 2.0 2.9 1.8 1.4 2.1
2003 1.5 1.1 2.0 1.7 1.4 2.2 1.8 2.4 2.1  2.4 1.9 2.1  1.9
2004 1.9 1.4 1.7 2.3 2.4 2.2 1.6 2.0 0.7 0.4 0.4 1.1 1.5
2005 1.1 1.1 1.0  1.3  1.6  1.2  0.9  1.3  1.0  0.8  1.3  1.0 1.1
2006 1.0 0.6 1.1 1.2 0.8 1.2 1.2 1.0 1.0 1.3 1.4 1.1 1.1
2007 0.8 1.3 1.3 1.2 0.7 1.1 1.8 2.4 2.0 1.7 2.5   1.5
Mean 1.6 1.6 1.7 1.7 1.6 1.7 1.6 1.7 1.6 1.5 1.5 1.5 1.6
High 2.6 2.6 3.4 2.6 2.4 3.3 2.6 2.7 3.3 2.9 3.7 2.7 3.7
Low 1.1 0.6 0.9 1.0 0.9 1.1 0.5 1.0 0.6 0.4 0.4 1.0 0.4



 
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