Tools › Implied vs. realized volatility
Implied against realized volatility
Set EOX implied volatilities for power and natural gas beside the volatility each contract has actually shown on EOX forward curves, contract month by contract month.
What goes in, what comes out
Your choices
- Power or natural gas, and the market
- The window realized volatility is measured over: 21 to 120 curve dates
The results
- Each contract month's implied volatility
- Its realized volatility over the window, and over twice the window
- The premium in volatility points, and implied as a multiple of realized
- The next month's implied and realized volatility on each past curve date, as a chart
Realized volatility is the annualised standard deviation of the contract's day-on-day log price changes on EOX's own curves. Power uses the on-peak month contract; natural gas, the location's fixed price.
Example
| Month | Implied | Realized (30) | Realized (60) | Premium | Implied / realized |
|---|---|---|---|---|---|
| 2027-01 | 72.5% | 58.1% | 54.6% | 14.4 | 1.25 |
| 2027-02 | 64.0% | 55.3% | 52.2% | 8.7 | 1.16 |
| 2027-07 | 58.9% | 61.7% | 57.0% | −2.8 | 0.95 |
Values are illustrative.
Use it from
Python
from eoxlive import EOX
eox = EOX("YOUR_KEY")
v = eox.implied_vs_realized("power", "HUB1", iso="ISO1", window=30)
v["months"] # implied, realized, premium by contract month
v["history"] # the next month's implied and realized on each curve dateREST
curl -H "X-API-Key: YOUR_KEY" \
"https://api.eoxlive.com/v1/analytics/implied-vs-realized?kind=gas&market=HUB1&window=30"Or in the browser, on the Market analysis page under Valuation, signed in with your EOX account.
Questions
- Which implied volatility is used?
- EOX's at-the-money volatility for each contract month: the straddle for power, at the money for natural gas.
- Why compare the two?
- Implied volatility prices the options; realized volatility is what the forward has done. The gap is the premium options have been carrying over recent price moves.
- Is it available with every subscription?
- It needs the implied volatility and forward curves for the commodity, and daily curves: month-end subscriptions don't have the daily history realized volatility needs.
- Is this a forecast?
- No. Both measures describe the market as it is and as it has been.
Included with your subscription. The tools use the curves, vols and correlations your subscription already covers, under the same entitlements, and are never charged for separately. Results are for information only; values shown on this page are illustrative.