KraneShares Mount Lucas Managed Futures Index Strategy ETF (KMLM) Historical Volatility

Tracking KMLM historical volatility helps you see how much KraneShares Mount Lucas Managed Futures Index Strategy ETF's stock price has actually moved over past periods, giving you a baseline to judge whether current option premiums are fair, cheap, or expensive. While implied volatility tells you what the market expects, KraneShares Mount Lucas Managed Futures Index Strategy ETF's HV tells you what really happened. Use our scanner to monitor KMLM 30 day historical volatility alongside longer lookback windows and spot the moments when realized and implied diverge.

Historical volatility is the annualized standard deviation of an underlying's past returns, typically measured over rolling windows like 10, 20, 30, or 60 days. The KMLM 30 day historical volatility is one of the most widely watched readings because it balances responsiveness with stability. Comparing KraneShares Mount Lucas Managed Futures Index Strategy ETF's HV to its implied volatility reveals the volatility risk premium — when IV sits well above HV, option sellers tend to have an edge; when HV runs hot relative to IV, buyers may be underpaying for movement.

KMLM focuses on total return using long and short positions, as determined by daily trading signals, in commodity, currency, and global fixed income futures. For tax purposes, KMLM does not hold futures but gets exposure through a wholly-owned Cayman Island subsidiary. On an annual basis, an index committee selects 22 different futures contracts from the three broad categories. Weighting to the three categories is based on historical volatility. The contracts within each category are equally weighted. The portfolio is rebalanced monthly and contracts are rolled on a market-by-market basis as contracts near their expiration.

The fund may also invest in instruments not included in the index such as equities or derivatives including swaps, forwards, structured notes, and options. Before April 1, 2022, the fund was actively managed. It traded as KFA Mount Lucas Index Strategy ETF until November 10, 2022. On August 1, 2024, KFA was replaced with KraneShares in the fund name.

Sizing a long premium trade, modeling a covered call, or hunting volatility arbitrage all come back to one question: how much has the stock actually moved? Our scanner puts KraneShares Mount Lucas Managed Futures Index Strategy ETF's historical volatility side-by-side with implied readings across every lookback window, so you can see exactly where KMLM HV is running hot, cold, or in line. Make the KMLM 30 day historical volatility — and every other window — work for your edge instead of against it.