How to determine whether today's session will be high or low volatility

just out of curiosity .. are you trying to fit a strategy that works well in a particular volatility environment.. sounds like it. or are you just not trying to trade when vol is low because of noise..

average True range... pair with Relative strenght or true strength..

RSI(ATR) or look at the relative strength of a bollinger/std dev figure..

you can as well use True strength index of the average true range to see the trend in historical vol... True strength just uses weighted moving average... makes sense if you believe in price dependence being more relative to the near term past rather then farther back..


http://en.wikipedia.org/wiki/True_strength_index
http://en.wikipedia.org/wiki/Relative_strength_index
http://en.wikipedia.org/wiki/Average_true_range

read this.. see if its worth a shit.. idk
http://mechanicalforex.com/2011/05/...e-true-range-concept-asirikuy-volatility.html


Chaikin Volatility or bollinger might have something ...
 
they give you two choices

1. to bet on how it's gone is how it will keep going

2. to bet on how it's gone is what it will return to

chop versus trend

it has been going on since the beginning of time and trading
 
in addition to exploring some of the suggestions made already, here's what i would do:

study the historical charts in the context of what scheduled economic releases were made on each day.

You might find the volatility is very low on the monday after NFP, or during the session/s in the run-up to NFP etc, and a whole host of other conclusions.

volatility obviously going to take-off during central bank decisions + speeches + statements.

German ZEW data, IFO, french man/German man flash pmi.

ADP, US weekly data... all this stuff can and usually does get the markets moving, at least for an hour or more.

You might argue that these economic data will register as nothing more than blips in the course of a month. I disagree. You add them all up and they will be a key contributor to the whole volatility picture.
 
Quote from applejuice:

in addition to exploring some of the suggestions made already, here's what i would do:

study the historical charts in the context of what scheduled economic releases were made on each day.

You might find the volatility is very low on the monday after NFP, or during the session/s in the run-up to NFP etc, and a whole host of other conclusions.

volatility obviously going to take-off during central bank decisions + speeches + statements.

German ZEW data, IFO, french man/German man flash pmi.

ADP, US weekly data... all this stuff can and usually does get the markets moving, at least for an hour or more.

You might argue that these economic data will register as nothing more than blips in the course of a month. I disagree. You add them all up and they will be a key contributor to the whole volatility picture.
More...

thats a good point... mapping regular events and there contributions of volatility to market would be a good way to tell which days will likely have more vol..
 
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