In the Historical Analysis Page in Section 1 for the CM asset you can chart a number of types of historical data (or parameters) for the asset you specify in the Underlying column. In the CM asset the parameters that you can choose depend on the selected commodity.
The available parameters are as follows:
Nearest contract
This plots the price of a defined nearest contract on each day in the defined period.
By default the system plots the 1st nearby contract. However, you can choose a different nearby contract to plot if required. You do this using the dropdown list that appears after you select the Nearby Contract parameter.
Future
This plots the price of the selected tenor (this can either be a specific contract, e.g., Dec 2011, or a period, e.g., Q1 2011 or WIN 2011) on each date in the defined period.
Forward
This plots the history of the forward rates (i.e., the forward price at a specific point in the future) for a certain term on each day in the defined period.
Historical volatility
This plots the historical volatility on each day in the defined period.
Historical (or realized) volatility is a measure of how volatile an underlying contract has been over the last <n> trading days (which you specify in the Term column). It is an annualized standard deviation of price changes expressed as a percentage.
For each time series of historical volatility, you must also specify the:
Frequency
Specifies the return period (in terms of business days). You can specify frequencies of 1d, 2d, 3d, 4d or 5d. For example, if you specify a frequency of 1 day, then the calculation of volatility for each day is based on the difference between the volatility on that day and the volatility on the previous business day. If you instead set the frequency to 2 days, then the calculation of volatility for each day will be based on the difference between the volatility on that day and the volatility on the date that is two business days prior to it.
Defines the number of samples taken when calculating historical volatility, and is therefore the averaging period. For example, if you specify 1w, each point plotted on the chart will indicate how volatile the defined market data was over the week up to that date; if you specify 1y, each point plotted on the chart will indicate how volatile the defined market data was over the year up to that date. You set the term by selecting the supported values in the dropdown list.
Implied volatility
This lets you plot the implied volatility for each date in the defined period.
By default the system plots:
The implied ATM volatility of a specific fixed tenor (which can either be a specific contract, e.g., Dec 2011, or a specific strip, e.g., Q1 2011 or WIN 2011) for each date in the defined period, i.e., the Term toggle button is set to Fixed.
However, you can instead choose to plot the volatility for a specific tenor relative to the trade date. For example, you can plot the 2-month implied volatility from each date in the defined period. You do this by toggling the toggle button to Floating. Once you have set it to Floating you can then select the relative expiry period, e.g., 1 month, 6 months, 10 years, etc.
The ATM implied volatility.
However, you can instead choose to plot the implied volatility of a specific strike instead. You do this by choosing Strike Price from the Strike dropdown list and then defining the relevant strike.
25 delta collar
This plots the 25 delta collar for each date in the defined period.
25 delta strangle
This plots the 25 delta collar for each date in the defined period.
25 delta c - ATM
This plots the volatility of the 25 delta call - ATM volatility for each date in the defined period.
25 delta p - ATM
This plots the volatility of the 25 delta put - ATM volatility for each date in the defined period.
Spot
This plots the spot rate for each date in the defined period.
Swap
This plots the swap rate of the selected tenor (this can either be a specific contract, e.g., Dec 2011, or a period, e.g., Q1 2011 or WIN 2011) for each date in the defined period.
Crack
The crack is the price differential for a specific swap between the OTC asset & its proxy asset at any given time. You plot this by selecting the new Crack option from the Parameter dropdown list as seen in the image below.
This parameter is only available for a commodity whose quoted price is dependent on the price of another, proxy commodity, e.g., Jet Fuel USGC or SING 180 CST Fuel Oil Cargoes.
3MT
This plots the 3MT rate for each date in the defined period.