KC SPECIALIST · Softs / Volatility Regime
Z85484 – [KC] Realized Volatility 60-Day z-Score Signal
Realized 60-day volatility of ICE US Coffee C, as a volatility-regime lens for Arabica.
At a glance
Current reading
-0.569
Signal state
Compressed Vol
24 days in Stress phase
Updated
Nov 04, 2026
Daily from ICE Coffee C
Sample
36-year window
Daily cadence; 1989-12 onward
As of Nov 04, 2026. Updated nightly.
SIGNAL OVERVIEW
Realized volatility is one of the most durable regime indicators across commodity markets. A rolling 60-day realized-volatility measure of ICE US Coffee C, z-scored on a long rolling window and tanh-bounded, captures whether the Arabica tape is running elevated or compressed relative to its own history. Positive composite equals above-trend realized volatility (stressed regime); negative composite equals below-trend realized volatility (compressed regime). The signal detected 26 of 27 major market stress episodes in the Arabica tape across 36 years with an average early warning that reflects the coincident-to-leading nature of realized volatility during regime transitions. Daily Spearman IC on forward 60-day returns is plus 0.015 (not independently significant at 5 pct), and Phase +1 firings deliver a plus 0.60 percentage-point edge above baseline. Full regime stats and historical case episodes below.
LIVE CHART
KC Realized Volatility 60-Day z-Score Signal
What the chart is showing right now. The dark line is 60-day realized volatility of ICE Coffee C, z-scored on a rolling window and tanh-bounded to plus or minus one. Positive composite means realized volatility is running above its rolling-window trend (stress regime); negative composite means below trend (compressed regime). The bronze line in the middle panel is ICE US Coffee C first-nearby in cents per pound. The bottom panel tracks the trailing 252-day Spearman information coefficient between the composite and Arabica forward 60-day returns.
COMPOSITE
-0.569 / tanh
STATE
Compressed Vol
PHASE
-0.65
DAILY IC
+0.015 (p = 0.158)
PHASE +1 EDGE
+0.60 pp
TODAY’S PLAYBOOK READING
STATE
Moderate Neg
STATE AND HISTORY
Compressed Vol firing at composite -0.569, 24 trading days running in the STRESS phase. Phase +1 (Elevated Vol) delivers plus 2.93 percent fwd60d / plus 0.60 pp above plus 2.33 pct baseline across 3,611 days. Phase -1 (Compressed Vol) delivers plus 2.29 percent / minus 0.04 pp below baseline across 4,553 days (near baseline). Daily IC plus 0.015 at p = 0.158; not independently significant. Signal is regime-state oriented.
THE VOLATILITY MECHANISM
60-day rolling realized volatility captures the actual dispersion of ICE Coffee C daily returns. Compared to implied volatility which reflects market expectations, realized volatility reads what has already happened in the tape. High realized volatility indicates a stress or trending regime; low realized volatility indicates a compressed or complacent regime. The 60-day window is long enough to smooth daily noise but short enough to capture regime transitions within a few weeks.
HOW TO POSITION
Regime-state indicator rather than directional trigger. Use Phase +1 (Elevated Vol) to size risk appropriately (reduce leverage, widen stops); use Phase -1 (Compressed Vol) as complacency warning for potential upcoming regime shifts. Pair with directional signals (ENSO, realized price, water deficit) for entry-timing conviction; realized vol tells you WHICH regime is active, not WHICH direction.
WHAT THE CHART SHOWS
The composite sits at -0.569 in the Compressed Vol band. ICE Coffee C 60-day realized volatility has run below its long-window trend. The current STRESS episode began October 2026 and has run 24 trading days which classifies as DIP (brief stress, not yet DANGER).
TOP INPUTS FIRING
- Primary composite -0.569 State Compressed Vol, 24 days running in STRESS phase.
- ICE Coffee C 60-day realized vol below trend Realized 60-day annualized volatility has run below its long-rolling trend through 2026; z-score deep in Phase -1 territory. Compressed-vol regime.
- Signal is regime-state, not directional (honest caveat) Daily IC not significant at p = 0.158; non-overlap IC not significant at p = 0.68. The archetype crash-detection claim reflects coincident vol rises during stress events, not true forward prediction. Use as regime overlay, not standalone trigger.
THE TAKEAWAY
What this means for you today
THE VOLATILITY CALL
Composite -0.569, Compressed Vol. ICE Coffee C 60-day realized volatility is running below trend; the tape has been quiet relative to its own history. Signal firing in the Compressed Vol bucket for 24 days; Phase -1 historically delivers near-baseline forward returns (minus 0.04 pp edge), consistent with regime-state rather than directional implications.
THE EMPIRICAL CONTEXT
Phase pattern is non-monotone. Phase +1 (Elevated Vol) delivers plus 0.60 pp above baseline; Phase 0 delivers counter-intuitive minus 1.80 pp below baseline; Phase -1 delivers minus 0.04 pp near baseline. The signal is bucket-conditional at the extremes and performs weakly in the middle of the distribution.
THE HONEST CAVEAT
Daily Spearman IC plus 0.015 is NOT independently significant at p-value 0.158 across 9,199 observations. Non-overlap test at 60-day sampling delivers rho plus 0.034 with p-value 0.68, also not significant. The crash-detection claim in the archetype classification reflects realized volatility rising DURING stress events (coincident), not a reliable forward-return edge. Use as regime-state overlay rather than standalone trigger.
THE REGIME MAP
The three phases, forward returns and sample share
Computed from 9,259 post-warmup trading days (1989-12-01 onward). Baseline Arabica fwd60d: mean plus 2.33 percent (median minus 0.93 percent). Phase +1 (Elevated Vol) delivers +0.60 pp edge; Phase 0 delivers -1.80 pp; Phase -1 (Compressed Vol) delivers -0.04 pp (near baseline). Daily IC not significant at p=0.158.
| State | Phase | Share | Fwd 60d | HAC t | Edge vs baseline | Last firings |
|---|---|---|---|---|---|---|
| Elevated Vol | +1 | 39.0% (3611 d) | +2.93% | +0.60pp | 2024 rally, 2021 frost, 2008 supercycle | |
| Near Trend | 0 | 11.8% (1095 d) | +0.53% | -1.80pp | 2023, 2016, 2013 | |
| Compressed Vol TODAY | -1 | 49.2% (4553 d) | +2.29% | -0.04pp | 2026 (current), 2019, 2015 |
The historical pattern
Signature episodes in the 36-year sample
What this measures
Rolling 60-day realized volatility of ICE US Coffee C first-nearby daily returns, z-scored on a long rolling window and tanh-bounded to plus or minus one. Positive composite equals above-trend realized volatility (stress regime); negative composite equals below-trend realized volatility (compressed regime). Distinct from implied-volatility signals because it reads what has already happened in the tape.
Why it matters
Why realized volatility reads Arabica regime
Realized volatility is one of the most durable regime indicators across commodity markets. A rolling 60-day realized-volatility measure of ICE US Coffee C returns captures whether the Arabica tape is running elevated or compressed relative to its own history. Unlike implied volatility (which reflects positioning and expectations), realized volatility reads what has already happened. High realized vol flags stress or trending regimes; low realized vol flags complacency.
How to use this signal today
Regime-state indicator rather than directional trigger. Use Phase +1 (Elevated Vol) to size risk appropriately; reduce leverage, widen stops, expect wider trading ranges. Use Phase -1 (Compressed Vol) as a complacency warning indicating the tape may be positioned for a regime shift. Pair with directional signals (ENSO, realized price, water deficit, cross-soft basket) for entry-timing and direction conviction. This signal tells you WHICH regime is active, not WHICH way to position.
Risk overlay
Daily Spearman IC plus 0.015 (p-value 0.158, N = 9,199) is NOT independently significant at the 5 percent threshold. Non-overlap test at 60-day sampling also not significant (p-value 0.68). The signal’s archetype crash-detection claim reflects realized vol rising DURING stress events (coincident) rather than a reliable forward-return edge. Primary risk is misinterpreting the Phase +1 edge as directional; it is not. Use strictly as regime-state overlay, never as a standalone directional trigger.
Signal consumers and siblings
Not investment advice · The analysis on this page is informational and educational. Signal readings, historical case figures, and empirical statistics are derived from publicly available data and are provided without warranty. Hypothetical performance results have inherent limitations, including the benefit of hindsight. Readers who intend to trade should consult a licensed investment professional and see the research brief for the full disclaimer.
Last refreshed Nov 05, 2026 06:00 PM ET