A crude oil volatility indicator describes how large recent moves in oil have been. The Behavioral Transform Model does this with an expected-range band built from roughly the last 60 daily returns. On the published oil futures series, the next close landed inside the inner band 70.5% of the time and inside the outer band 94.0%, historically.
The Proof page lists oil futures over 2000–2024 at 70.5% inner and 94.0% outer. Past behavior is not a guarantee of future results. Oil is one of the commodity rows in the 40-instrument set scored on the same question; the cross-asset article covers the full set.
Oil moves by a different amount than an equity index or a currency pair, and that is what the rolling window measures. The band is built in return space, so its width follows oil's own recent percentage moves rather than a fixed dollar distance, and the same calculation was run on every instrument with nothing fitted per market. Return space vs price space explains the construction.
A containment rate of 70.5% is a statement about the average over the sample. It says the band's width matched oil's recent behavior well enough that about seven next closes in ten fell inside. It does not say any single day will, and the band is an expected range, not a claim that price reverses at its edges.
The oil sample (2000–2024) is far shorter than the 97-year S&P 500 series; the paper reports a confidence interval per instrument. The figure is for oil futures, so it carries the usual continuous-contract caveat: how the long series was joined at roll dates is a property of the data, and the live pages do not state how the published series was built. Like any rolling-window band, it runs too narrow in the first days of a fast volatility jump, and the outer band is slightly optimistic in the deep tails. The paper validates calibration, not the profitability of any use.
Does the figure cover WTI or Brent?
The Proof page lists "oil (futures)" without naming the benchmark; the working paper has the instrument detail. No separate figure is published for the other benchmark.
Does the band predict oil's direction?
No. It describes the size of recent moves, not direction.
Does it work on oil ETFs such as USO?
The construction runs on any series of closes, but no ETF figure for oil is published, so no claim is made beyond the futures row.
Details are in the working paper. The 30-day free trial lets you view the range on an oil chart yourself: start free, cancel anytime.
Oisigma provides descriptive market analytics for educational use. It is not investment advice, does not predict prices, and does not provide buy or sell signals. Statistics referenced are historical and were measured in our working paper (not peer-reviewed); past behavior is not a guarantee of future results. Trading and investing involve substantial risk of loss, including the possible loss of all capital invested. Leveraged products (futures, options, margin) carry additional risk and can result in losses that exceed your initial investment. Bollinger Bands® is a registered trademark of John Bollinger; Oisigma is not affiliated with or endorsed by Mr. Bollinger. RiskMetrics® is a registered trademark of MSCI Inc.; Oisigma is not affiliated with or endorsed by MSCI Inc. Nothing in this article is a recommendation to use any particular strategy. Read the full Disclaimer →
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