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Here's a scatterplot of SPY daily change in volume (x axis) versus daily % change in stock price. Pretty amazing correlation (maybe R^2 of 0.4?). It's the change in volume that's the key. Absolute volume actually isn't predictive at all. The problem is that by the time I measure daily...

Does this resonate?

The volume of SPY has been steadily ticking upward in each of the last several trading days, which doesn't portend well for the Santa rally, but maybe there are non-typical "new year" factors at work, as you suggest.

Yeah, that's a good point. And, it also trades over greatly extended hours.

Thanks, I'll look into this "on-balance volume" indicator.

Anyone who's looked at SPY daily price and SPY daily volume on the same chart will notice that there's a nice negative correlation between change in daily volume and daily return. Unfortunately, by the time I notice that daily volume has increased, I've already suffered today's loss! Causality...

buy and set tight stops if you can't handle a big loss. That's what the trend following gurus recommend, anyway.

Hi guys. funny you mention realvol.com; their page, which shows two formulae, was my initial source of confusion! :D https://www.realvol.com/VolFormula.htm Here's what I am trying to do. Below is plot of SPY price (red) and a ratio (yellow) of "IV" (average over all strikes & expirations on...

I have the feature/bug of not believing something unless I implement it myself. Never got paid to learn this stuff, and have a day job, so progress is very slow. Still interesting

Ski 80 days (not gonna happen)

Fascinating. If you dont mind disclosing, what is your general background?

Cottle and his weird ass diagrams. That dude thinks differently

I see a variety of methods used to calculate historical and realized volatility. Is one or the other most "correct"? Also the calculations depend vigorously on window size. "Best" window size? (Seems to me that a decaying weighted average - with max weight at "today" - would make most sense...

There's a lot under the hood at ORATS!

gotta like the $27 share price. ;-)

Do you mean micro futures? What symbols? (Have been meaning to educate myself on futures, but run short of time in the day)

Good point, just buying the leveraged ETF is an even easier way to get leverage. (I said it was probably a dumb question). Options do have a lot of drag...

I guess I am fixated on owning 100 shares (even though I could give a crap about selling covered calls anymore), which would leave my $50K account over-concentrated in SPY. Also, it's cheaper to get leverage with options (though I could just buy shares on margin if I was desperate for leverage).

currently long (1 contract) in SPY and USO. Everything else that I watch looks shitty right now.

probably a dumb post, but here goes. I am trading an indicator that predicts direction, and I want positive delta. How would you best do it? (admitting that "it depends" is probably the "answer") Test account is $50K, so I'm loathe to spend $46K to buy 100 shares of SPY. I could sell naked...