High volatility or not?

M

MrAgi1

I have 2 questions:

Question 1:
Is it possible that there exist a commodity(or any other asset of any type) with trading range(either daily, weekly or monthly range) which tend to be consistently around a specific value every time?

E.g; the high minus low for stock X for the past 10 trading days(in points): 5.2, 5.1, 5.0, 5.05, 4.9, 4.8, 5.0, 4.8, 4.95 and 5.0 [the trading range of X is around 5.00]


Question 2:
Is stock X above not an example of a low volatile stock(low standard deviation)? Let’s say stock X described above is a 20$ stock. However from the above example, on a daily basis it swings around $5(25%). How is that not extremely volatile? What is the appropriate term to describe what’s happening with stock X trading range?
 
In Summary: I used to think a stock is volatile, like assuming stock X above has trading range instead as: 2.1, 7.2, 5.5, 4.5 e.t.c because of the great variation of the trading range values. However, a consistent $5 daily swing on a $20 stock is still wild to me and that is my dilemma(which scenario is high volatility).
 
What's your point?
Are you looking for a unit for volatility?
It's called "HV" for historical volatility,
and "IV" for implied volatility.
They are annualized standard deviations of standard calculation methods.
Just google... or take a look into a statistics textbook...
 
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earth_imperator said:
What's your point?
Are you looking for a unit for volatility?
It's called "HV" for historical volatility,
and "IV" for implied volatility.
They are annualized standard deviations of standard calculation methods.
Just google... or take a look into a statistics textbook...
More...
No, a consistent trading range value. The current value of the GBPUSD daily ATR is about 125 pips. However, that 125 pips might have come about from a wild daily swing in true range value. Assuming that 125 pips is from an average of the past 5 trading days, then the average might have been obtained from the following values(in pips): 200, 175, 125, 50 and 75. That is a wild swinging range. How about if the ATR values was obtained from the following 5 past trading days range(in pips): 123,125,127,124 and 126. That’s the kind of consistency I am looking for.

Looking at the attached picture below, the highlighted area in blue shows that the daily ATR have been consistent but slightly declining in value from Jul till September. That’s the kind of consistency I am looking for, not just in the daily ATR but the daily trading range(high minus low) and for much longer than 2 to 3 months.
 

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earth_imperator said:
If you have the data of the involved tickers, then you can calculate beta yourself by using these formulas:
https://en.wikipedia.org/wiki/Beta_(finance)#Mathematical_definition
More...

Sounds like you are good in coding. Is it possible to create a "CrossCounter" indicator to track the historical/statistical tendency for 2 stock price lines to intersect on an overlay chart?

Let Long term count no. = b (User input e.g 30, 90 days)
Short term count no.= a (User input. e.g 7 days)

Plot P=a/b ratio line on a chart. If P is increasing or steady, the 2 stocks can be considered for pairs trading.
 
Gazillionaire said:
Sounds like you are good in coding. Is it possible to create a "CrossCounter" indicator to track the historical/statistical tendency for 2 stock price lines to intersect on an overlay chart?

Let Long term count no. = b (User input e.g 30, 90 days)
Short term count no.= a (User input. e.g 7 days)

Plot P=a/b ratio line on a chart. If P is increasing or steady, the 2 stocks can be considered for pairs trading.
More...
Sorry, I'm currenty fully involved in own projects..
 
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