· Analytic
LH Realized Vol 60d Z Signal
Rolling 60-day realized volatility of CME Lean Hogs returns, z-scored on a 3-year window — the vol-regime overlay for the Lean Hogs stack.
At a glance
Current reading
+0.943
High Vol Regime saturated-positive, 55 trading days running
Signal state
Extreme POS
phase +1, 60d realized vol in top decile of 3-year window
Sample
Daily, 36-year span
LH21260BD back-adjusted continuous; 1989+
Historical IC
-0.0989
NEGATIVE aggregate IC — vol regime overlay, not directional primary
Baseline LH fwd60d
+1.59%
Unconditional mean
Low Vol fwd60d
+3.39% mean
Complacency pays — EXTREME_NEG band is the better side
As of Oct 30, 2026. Updated nightly.
OBJECTIVE
Realized volatility is the oldest regime variable in market analysis: when vol is high, the market is in a stress or transition phase; when vol is low, the market is in a complacent or trend-stable phase. For CME Lean Hogs, the relationship between realized vol and forward returns is empirically backwards from the naive narrative. High vol does NOT reliably precede recoveries; low vol does deliver positive forward edges. This signal reads the rolling 60-day realized vol of LH returns, z-scores on a 3-year window, and bounds with tanh. In December 1998 the signal pinned at plus 0.68 as realized vol spiked through the demand collapse; lean hogs at $21 rallied 101 percent over the next sixty days through the cross-protein recovery. In July 2020 the signal fired at plus 0.75 as the COVID packer-closure shock drove vol to a sample extreme; lean hogs at $44 rallied 68 percent. The memorable twist: aggregate Spearman IC is NEGATIVE (-0.10). The in-sample outlier wins (1998, 2020) dominate the anchor-case narrative, but in aggregate the EXTREME_POS high-vol state delivers near-zero mean fwd60d (+0.13%), while the EXTREME_NEG low-vol state delivers +3.39% mean (+1.80 pp above baseline). Low-vol complacency pays. Read on for the current EXTREME_POS firing (55 days running at saturated +0.94), the 1998 and 2020 crisis-rally anchors, and why this is a regime overlay rather than a directional primary.
LIVE CHART
LH Realized Vol 60d Z Signal
Composite reads +0.943 as of October 30, 2026, in the saturated High Vol Regime band, 55 trading days running since August 14, 2026. The blue signal line has held at the saturated-positive level through the entire Q3-Q4 window. Realized vol is at the top decile of the 3-year distribution. CME lean hogs (orange) have moved from the $100 2026 range top down to the $56-62 range through this vol spike — consistent with vol-spike-into-drawdown behavior, which the aggregate statistics confirm (high vol does NOT precede recoveries on average).
COMPOSITE
+0.943 / tanh
STATE
Extreme Pos
PHASE
+1
FWD 60d
+0.22% (baseline +1.59%)
SAMPLE N
9,301 days
TODAY’S PLAYBOOK READING
STATE
Extreme Pos
STATE AND HISTORY
High Vol Regime saturated-positive firing, 55 trading days running since August 14, 2026. State-conditional mean fwd60d LH is +0.13% — essentially flat. 1998 and 2020 outlier anchors drive the narrative but not the aggregate.
LOW VOL COMPLACENCY PAYS
EXTREME_NEG (low-vol regime) delivers mean fwd60d +3.39%, +1.80 pp above baseline, hit 57.6%. The declared-bullish EXTREME_POS state delivers +0.13% at 44.7% hit — essentially a coin flip. Signal polarity is empirically reversed from the engine declaration.
HOW TO POSITION
Treat as vol-regime overlay only. Pair with commercial-positioning (direction), breeding-inventory (10-month forward), and carcass-weight (short-pull) for primary directional trades. High-vol regimes typically coincide with inflection points — size against the primaries, not against this signal.
WHAT THE CHART SHOWS
The composite sits at +0.943 in the saturated High Vol Regime band, 55 trading days running since August 14, 2026. The blue signal line has pinned at the top-decile vol level through the entire Q3 and Q4 2026 window. CME lean hogs (orange) have declined from $100 at the 2026 range top down to the $56-62 range through the vol spike — down 41 percent through the firing. This is consistent with the aggregate pattern (vol spike into continued drawdown), NOT the 1998/2020 outlier-recovery narrative.
TOP INPUTS FIRING
- Primary composite +0.943 State High Vol Regime saturated-positive; 55 trading days running.
- Realized vol top-decile 60-day realized vol of LH log returns in top decile of 3-year distribution. Vol has stayed elevated through the Q3 Q4 2026 drawdown.
- State-conditional edge: NEGATIVE Aggregate IC -0.0989. High Vol Regime historical fwd60d LH mean +0.13%, baseline +1.59% (-1.46 pp). Low Vol Regime is the better statistical side (+1.80 pp above baseline). Regime overlay only.
THE TAKEAWAY
What this means for you today
THE VOL CALL
Composite +0.943, saturated High Vol Regime, 55 trading days running since August 14, 2026. Realized vol in LH is at the top decile of the 3-year distribution — consistent with the 2026 cash-market weakness and the broader cross-protein stress.
THE EMPIRICAL CONTEXT
High-vol regimes historically deliver near baseline fwd60d (+0.13% mean, 44.7% hit). The 1998 and 2020 outlier recoveries drive the anchor-case narrative but represent extreme crisis-bottom conditions, not typical high-vol firings. Low-vol regimes are the better statistical side.
THE HONEST CAVEAT
Aggregate IC is NEGATIVE (-0.0989) — the engine-declared polarity is backwards. Do not trade this signal as a long bias from the EXTREME_POS state. Treat as vol regime overlay only.
THE REGIME MAP
The three states, forward returns and sample share
Computed from 9,241 trading days with observable LH fwd60d. Baseline LH fwd60d (unconditional): plus 1.59 percent mean. REVERSED empirical relationship: low-vol state is the better side.
| State | Phase | Share | Fwd 60d | HAC t | Edge vs baseline | Last firings |
|---|---|---|---|---|---|---|
| High Vol Regime TODAY | +1 | 39.5% (3674 d) | +0.22% | -1.37pp | Aug 2026, Aug 2025, Aug 2024 | |
| Normal | 0 | 11.4% (1062 d) | +1.99% | +0.39pp | May 2025, Jan 2025, Aug 2024 | |
| Low Vol Regime | -1 | 49.1% (4565 d) | +1.90% | +0.31pp | Jan 2026, May 2025, Jan 2025 |
The historical pattern
Signature episodes in the 36-year sample
What this measures
The signal computes the rolling 60-day realized volatility of daily log returns of CME Lean Hogs back-adjusted continuous (LH21260BD), z-scores on a 3-year (756 trading-day) rolling window, and bounds with tanh. State thresholds plus or minus 0.2 (moderate) and plus or minus 0.5 (extreme). Positive readings = elevated-vol regime; negative = low-vol complacent regime.
Why it matters
Why aggregate IC is negative despite outlier wins
The engine declares High Vol Regime as positive (bullish-LH), but the aggregate Spearman IC against LH fwd60d is -0.0989 — meaningfully negative. The 1998 and 2020 outlier wins drive the anchor-case narrative but represent extreme crisis-bottom conditions with coincident catalysts (demand recovery, packer-constraint overlap). Most high-vol firings do not have those catalysts and deliver near baseline. The Low Vol Regime extreme delivers the better statistical edge (+1.80 pp vs baseline, hit 57.6%) — complacency pays in a cyclical commodity like Lean Hogs.
Why vol is a regime overlay, not a directional primary
Realized vol identifies market state (stress, transition, complacent, stable-trend) but does not reliably predict forward direction. In some vol-spike windows the market recovers (1998, 2020); in others it continues to drawdown (2026 Q3-Q4). The direction depends on the coincident supply, demand, and positioning setup. Treat vol as regime overlay — useful for sizing (reduce size when vol regime is uncertain), not for direction.
How to use this signal today
Treat as vol-regime overlay. Pair with the commercial-positioning signal (professional-side direction), the breeding-inventory signal (10-month forward supply), and the carcass-weight signal (short-pull confirmation). Use the current High Vol Regime firing to reduce position size and widen stops — not to size a long against the historical baseline. The aggregate pattern says high vol into drawdowns continues more often than it reverses.
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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 Oct 31, 2026 03:58 PM ET