Explanation:
The document is composed of two parts. There is a tabular portion which summarizes the changes in front month futures prices and the changes in the at the money front month implied volatility. The results are presented as raw differences and percentage changes. The plots in this document try to give a feel for the evolution of the futures and options for each product type. The skew/termstructure/xyplots are broken out by major asset classes: Indexes, Fixed Income and so on.
At the Money Volatilty and Price Term Structures:
Stacked on top of the other on the left hand side, see the termstructures of vol and the (underlying) futures contract price.
The starting curve is the termstructure at the beginning of the period. This curve is labelled start and is typically colored blue. The ending curve is typically colored red and denoted by the text: Today. The greyed out lines are the termstructures for each day of the period. The hope is that the range of movements becomes apparent.
Termstructures
Front Month At the Money Volatilty and Front Month Price Over the Year:
On the right hand panel we have the price and implied volatility of the front month contract.
At the money implied volatility is shown in blue and the axis on the left should be used to read off the values. The front month futures price is in orange and the right hand axis is where its value can be read.
ATM/Futures Price Over Time
Front Month Skew:
On the right hand in the bottom panel we have the starting front month skew and the ending front month skew.
The front month skew is shown for the starting date. The starting curve is labelled as 'Start' and captioned with the date. The starting curve is blue. Conversely, the ending curve is shown in red and labeled Today. The y-axis shows the implied volatility and the x-axis shows the moneyness. The moneyness is a way to normalize the skew so that it is comparable across time.
Front Month Skew