Crowning Market Volatility Champs?

A while back we took note of the recent larger moves in natural gas prices, wondering whether the commodity was reclaiming the title of “widowmaker.” But yesterday, looking at cocoa up over 4% at one point, it looked like natural gas might have some competition for the title. But we had to wonder: where do the markets stack up against one another in terms of volatility?

To find out, we took a common measure of volatility for each market – the 14-day Average True Range – and divided it by the closing price for that day to get a relative measure of volatility for each market. But we also wanted some context, so we included the YTD average, as well. Here’s what we found:

Click to embiggen.

SP = S&P 500, DJ = Dow Jones Industrial Average, NQ = Nasdaq, TF = Russell 2000, EMD = S&P Mid-Cap 400 E-mini, US = US 30-year bonds, TY = US 10-year bonds, BP = British Pound, DX = US Dollar, EC = Euro, JY = Japanese Yen, SF = Swiss Franc, GC = Gold, SI = Silver, HG = Copper, PL = Platinum, PA = Palladium, CL = Crude Oil, RB = RBOB Gasoline, HO = Heating Oil, NG = Natural Gas, C = Corn, W =Wheat, S = Soybeans, LC = Live Cattle, LH = Lean Hogs, CC = Cocoa, CT = Cotton, KC = Coffee, OJ = Orange Juice, SB = Sugar. Disclaimer: past performance is not necessarily indicative of future results.

Turns out, cocoa is still the runner-up when it comes to volatility – and natural gas leads by a wide margin. It’s also worth noting which markets tend toward the volatility extremes – treasuries and currencies occupy the 7 least volatile spots on our list, while it’s a more eclectic mix at the top.

A few other unsurprising details are brought into sharp relief by this picture, too. For one, the 14-day volatility averages for wheat, corn and soybeans are all significantly higher than their YTD averages. Drought and supply concerns will do that. Most other markets are fairly close to their long-term averages.

This year still has a ways to go before we can crown a king in this category, but with volatility moving upward, the competition ought to be interesting.


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