Statistik › Volatilitet och VIX › Intraday volatility shape
The U shape is measured in bonds and in Tokyo, and the US equity numbers are not published
Average absolute five minute returns on US Treasury bond futures by time of day, 5 minute returns from January 1994 to December 1997, 1,001 trading days, 80 intervals per day from 08:20 to 15:00 eastern time, 80,080 observations. The close to trough ratio is 2.0 and the open to trough ratio 1.83, both arithmetic from the three published values. The authors state the shape here is much weaker than in equity markets.
Five minute volatility in US bond futures runs 0.053 per cent at the open, 0.029 in the middle of the day and 0.058 into the close. For US equities the shape is stated and the point values appear only inside an unlabelled chart.
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