ATR of a spread....

J

J-Law

Trying to figure the ATR of a spread as to assess a spread's volatility.

Since, ATR is a sound measure of a spread's vol figured that would be a good place to start
As you know, a spread daily chart just gives you the close and not a high-low range. This makes it difficult to measure ATR.

Any ideas out there ????
 
For historical data, you need to create an intraday chart of the spread and create your own data. I used 1 minute bars to get a fairly accurate idea of the intraday movement of the spread.
 
A spread for example is the current seasonal,

Long Apr 06 hogs/Short Feb 06 hogs.......

last traded 2.675

Date Buy Sell Diff Chg
12/02/05 68.900 66.225 2.675 .475
12/01/05 70.150 67.950 2.200 -.225
11/30/05 69.775 67.350 2.425 .425
11/29/05 68.825 66.825 2.000 .300
11/28/05 69.450 67.750 1.700 -.250
 
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