We have adapted our platform to CME Futures and first 10 most optionable futures are now available for analysis:
|CL||CME Crude Oil Futures|
|ES||CME E-mini S&P 500 Futures|
|GC||CME Gold Futures|
|GE||CME Eurodollar Futures|
|NG||CME Natural Gas (Henry Hub) Futures|
|NQ||CME E-mini NASDAQ-100 Futures|
|SI||CME Silver Futures|
|ZC||CME Corn Futures|
|ZN||CME 10-Year T-Note Futures|
All of them do not have the historical option prices yet, so it is possible to compare their Fair Values with real-time prices only.
Also, some futures are not associated with volatility indices and for those that have them, the actual history is significantly shorter than for the underlying security itself. For example, GC Gold Futures future has historical quotes since 1975 while the corresponding vol.index – GVZ – had started in the middle of 2008.
In this case, it is possible to use Historical Volatility indicator to filter volatility regimes instead.