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Index Volatility Tool

Pick a producer or consumer price index and get its annualized historical and EWMA volatility — a read on how much room a cap or floor actually needs to cover.

Quantifies the risk once. The product sizes the cap for you and watches for the breach as new prints land.

Related reading: What does a price adjustment cap and floor do in a purchase contract?.

Index Volatility Tool, explained

What does annualized volatility mean for a price index?

It's the standard deviation of the index's month-over-month log returns, scaled up to a one-year figure. A higher number means the index has been moving further, in either direction, from one month to the next, useful for sizing how tight a cap or floor needs to be.

What is the difference between historical and EWMA volatility?

Historical volatility weights every month in the rolling window equally. EWMA (exponentially weighted moving average) weights recent months more heavily, so it reacts faster when an index has recently become more or less volatile.