Volatility trend analysis

Volatility trend analyses were carried out by calculating sixty day moving averages of daily SMA volatilities in the given look-back period. The daily SMA volatility has been calculated based on prior sixty return observations. The graphical depiction of the trend line shows the average volatility of the next sixty volatilities at a given point in…Read moreRead more

Portfolio volatility (vol)

The portfolio’s daily volatility taking into account correlations has been calculated using the formula: Where . a, b and c are the weights of the respective asset in the portfolio X, Y, and Z are the assets in the portfolio Variance (X) is the variance in X price/ rate returns, i.e. it is X’s volatility…Read moreRead more

Crude Oil, Fuel Oil & Diesel Price Volatility update – December 2009

  Four images that compare crude oil and refined product volatility over a period of 18 overlapping months starting March ’08 and ending October ’09. The first two show a steep dip in price volatility of Brent and WTI. The next two show a similar decline in Fuel and Diesel Oil but just as sharp…Read moreRead more