I don't define volatility by the VIX number, and I think lots of others do the same. You can get a high VIX number from just going down day after day. Simply going down is not volatility. If something is volatile it's moving sharply in either direction in a somewhat unpredictable and random fashion. If we go UP the exact same amount as we go DOWN every day, the VIX goes down instead of up.
Amazing volatility - Will it last?
- Thread starter Laissez Faire
- Start date
I don't define volatility by the VIX number, and I think lots of others do the same. You can get a high VIX number from just going down day after day. Simply going down is not volatility. If something is volatile it's moving sharply in either direction in a somewhat unpredictable and random fashion. If we go UP the exact same amount as we go DOWN every day, the VIX goes down instead of up.
I made this thread on the 8th of February referring to that exact date which had 6 major swings counting 10 points or more each.
For the last 805 trading days; 657 days had one or more major swings.
Out of those 657 days, only 18 days or roughly 3% of the sample had exactly 6 major swings.
In fact, 85% of those 657 days had between 1-3 swings, with a far majority having only one major swing.
So, my data supports what I suspected back then and it seems that you're wrong.
PS: This is not accounting for the size of the swings which were also well above the norm.
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You are writing from the perspective of someone who knows what they are doing, that's a strong statement, does this mean that you have profitably and consistently traded and captured 80-95% of these intraday swings on the ES? I think that's almost impossible for a discretionary PA-based trader who places any emphasis on risk management, most pullbacks in what only becomes clearly a trend after-the-fact have very strong countertrend signal bars in realtime. It seems like the only people profiting off of these large intraday swings consistently are the smarter players using them as a hook to lure new retail day traders in.
Well, let's assume that you know what you're doing then. People shouldn't be trading if they don't know what they're doing.
Regardless of this, I'll say it's easier to trade high volatility than low volatility, certainly when the volatility gives clear and nice swings like recent days. I will illustrate with an example:
Low volatility and tight ranges - A trader takes two 3 point stop-losses in a row and needs 6 points on his next trade just to break even (not counting cost of trading). Very hard to accomplish when the market is doing 10 point DAILY ranges with smaller swings during the day.
High volatility and wide ranges - A trader takes two 3 point stops in a row and rides the next big swing for 15-20 points. Hell, perhaps he's lucky and rides another 10-20 point swing among the wide variety of swings on any given day.
This is not a workable strategy, past performance will be not indicative of future results, your major factor giving this strategy a small chance of brief success is luck premised on very fleeting market inefficiency, the idea of a 3 point stop on the ES not being hit and a trader holding for 7 times that risk is a black swan event, 3 point stops are well within the ES' ATR during most conditions of volatility, so this is a failed strategy as well which will, over time, only enrich the CME, brokerages, and institutions.
Correct. This poster continues to demonstrate both his ignorance and poor reading comprehension.
Correct. This poster continues to demonstrate both his ignorance and poor reading comprehension.
Your assertion that high volatility as defined as 20-40 point moves in the ES with very minor retracements, allowing traders to tightly control risk were not black swan events in 2016 and that high volatility is not a double-edged sword but it is a cash windfall for discretionary day traders are utterly false, you and speedo resorting to ad hominems shows the weakness of your positions.