its true, 100's thousands not working, not making products, not servicing industries, the nation won't be at full utlisation, input/output, earning/spending, the bottom lines of lots have to be feeling it. interesting to see Snow try and play it down with 'the financial system is smooth and sound atm', in the New Orleans is there a financial system at the moment?, are people paying bills, are people earning, are people spending?
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Jonnysharp's ES briefing
- Thread starter jonnysharp
- Start date
its true, 100's thousands not working, not making products, not servicing industries, the nation won't be at full utlisation, input/output, earning/spending, the bottom lines of lots have to be feeling it. interesting to see Snow try and play it down with 'the financial system is smooth and sound atm', in the New Orleans is there a financial system at the moment?, are people paying bills, are people earning, are people spending?
ok, i wanted to discuss the long term volatility of ES. its in secular downtrend and has been baseing since 2004. will it go lower, will it go higher, will it stay the same? when will it change? why will it change? i could handle about 75% of the volatility we have now, then i would have to change contracts, since the spread/range ratio would be too tight for me. id like to hear from some other ES participants what their take on this is?
Ive attached a chart of the weekly high-low range for the last 5 years for ES. the 19.5 reading on the right is for the first week of August this year. that high you see in mid 2002 was 75.0, the top of the range we are in now is 30.0.
Ive attached a chart of the weekly high-low range for the last 5 years for ES. the 19.5 reading on the right is for the first week of August this year. that high you see in mid 2002 was 75.0, the top of the range we are in now is 30.0.
Attachments
Quote from jonnysharp:
ok, i wanted to discuss the long term volatility of ES. its in secular downtrend and has been baseing since 2004. will it go lower, will it go higher, will it stay the same? when will it change? why will it change? i could handle about 75% of the volatility we have now, then i would have to change contracts, since the spread/range ratio would be too tight for me. id like to hear from some other ES participants what their take on this is?
Ive attached a chart of the weekly high-low range for the last 5 years for ES. the 19.5 reading on the right is for the first week of August this year. that high you see in mid 2002 was 75.0, the top of the range we are in now is 30.0.
The structure of the market changed significantly at the end of 2003, beginning of 2004. Volatility reduced sharpely and price reactions changed quite a bit. I don't think we had seen such significant changes in market structure for perhaps 5 years or so. When the market structure changes like that it is generally not a short lived phenomena. I personally expect not much change in the way the market trades for the next few years. I think it will trade in a similar fashion as to 2004 and 2005 in terms of volatility. We will have periods of good volatility when the average 10 day range will be in the region of 11-15 handles and other low volatility periods when the average 10 day range will be in the region of 7-9 handles. Of course, this is all in the context of a low volatility/sideways trading environment. Perhaps this might last 5-10 years or more. I could be wrong of course... Not that any of this matters because any trading environment can be traded with good profits if you have the right approach for that environment.
London trader, interesting comments i will reply about 2 hours after the market has opened. for now a quick briefing.
monday 830AMEST
comments re friday:
an inside day -> no conviction. buying on close. katrina has come to light a little better for this week. dollar slammed last week, due to expected decline in cash rates -> lead to foreign outflows.
News for today:
Non Mfg Index 10AMEST consensus 59.5
No significant earnings for today.
Key levels:
1231
1228
1220
1215
1210
Volatility:
contraction -> directional expansion expected
Trend:
short term; up
med term; up
Pre-market comments:
buying on above average volume. good numbers out of japan, also helping oil with their strategic reserve, there equity/currency markets rallying of late. watch the dollar, is this a pullback of a real move down or a jerk down -> some idea if the expected fed move is for real. dont have a directional bias, i honestly wouldnt know what direction it is for today, is the market going to continue to warm up to lower interest rates or is katrina's mess going to be evident in the stock market? as usual its all in the price. oil 67.45
j.
monday 830AMEST
comments re friday:
an inside day -> no conviction. buying on close. katrina has come to light a little better for this week. dollar slammed last week, due to expected decline in cash rates -> lead to foreign outflows.
News for today:
Non Mfg Index 10AMEST consensus 59.5
No significant earnings for today.
Key levels:
1231
1228
1220
1215
1210
Volatility:
contraction -> directional expansion expected
Trend:
short term; up
med term; up
Pre-market comments:
buying on above average volume. good numbers out of japan, also helping oil with their strategic reserve, there equity/currency markets rallying of late. watch the dollar, is this a pullback of a real move down or a jerk down -> some idea if the expected fed move is for real. dont have a directional bias, i honestly wouldnt know what direction it is for today, is the market going to continue to warm up to lower interest rates or is katrina's mess going to be evident in the stock market? as usual its all in the price. oil 67.45
j.
Quote from LondonUSTrader:
When the market structure changes like that it is generally not a short lived phenomena. I personally expect not much change in the way the market trades for the next few years. I think it will trade in a similar fashion as to 2004 and 2005 in terms of volatility. .
what do you think is the biggest cause of volatility? do you think there will be a fundamental catalyst for increase in volatility in a few years time or is it just a cycle largley pronounced by time? and do you think volatility has correlation to trendiness?
Does anyone have a chart of like 25years or more of DOW volatility?
a quick briefing today im busy.
wednesday830AMEST
tuesday action: clean up day, broad based buying in stocks other than energy, key reversals to the upside in the heavyweights like WMT, GE, PFE, IBM to name a few, continued selling in oil helped, also mfg index news. key levels broken, but volume was weak -> lack of conviction.
trend up, volatility high cycle
pre market: volume low, pretty flat range. no big reaction from productivity news just out. fed meeting in two weeks, will be interesting to see what the market bets on what words will come out of Greenspans mouth. otherwise this market is follow the leader. oil 65.80.
j.
wednesday830AMEST
tuesday action: clean up day, broad based buying in stocks other than energy, key reversals to the upside in the heavyweights like WMT, GE, PFE, IBM to name a few, continued selling in oil helped, also mfg index news. key levels broken, but volume was weak -> lack of conviction.
trend up, volatility high cycle
pre market: volume low, pretty flat range. no big reaction from productivity news just out. fed meeting in two weeks, will be interesting to see what the market bets on what words will come out of Greenspans mouth. otherwise this market is follow the leader. oil 65.80.
j.
Quote from jonnysharp:
what do you think is the biggest cause of volatility? do you think there will be a fundamental catalyst for increase in volatility in a few years time or is it just a cycle largley pronounced by time? and do you think volatility has correlation to trendiness?
Does anyone have a chart of like 25years or more of DOW volatility?
I don't know what the biggest cause of volatility nor care, as a humble trader I focus on what is happening now (and my response to it) and leave to financial journalists, fund managers, stockbrokers and the like to look for reasons for events.
My own view, and observations, is that there is a relationship between high volatility and low volatility in all time frames and things tend to move in cycles. Also, low volatility is a bed fellow of choppy action just as high volatility is of trends.
If we think about the last few years, no stock market mania has ever been followed by more high volatility. Low volatility tends to follow usually for several years or more.
When everyone has forgotten about the high volatility days and the low volatility choppy environment is the norm then perhaps high volatility will return. I think it is a similar thing to the 60s when the market went sideways for 10 years or so.
I am thinking that the slope of the yield curve has something to do with it. Flatter yield curves have lower p/e's. Markets with lower p/e's are less volatile the higher p/e markets.
Just guessing.
John
Just guessing.
John
jf i will respond to you later for now briefing;
thursday845AMEST
wednesday; technically wednesdays action looked like an perfect extension of tuesday (chart attached). same story as before just cruising to the upside.
trend up, volatility low, key level 200MA 5min (chart attached), then 1224, or if we go to 1245 area.
pre market; trickle down to 200MA 5min on weak volume. jobless claims just came in down 1,000. oil inventories @ 1030AMEST, market obvisouly betting there down from katrina. i have a few QM longs (i will get out before the news, i want to know how bad inventories shrank and traders reaction are they going to sell the news?, this will give a good idea today) and ES longs and im thinking today whatever one starts to take off im adding to. oil 64.95.
j.
thursday845AMEST
wednesday; technically wednesdays action looked like an perfect extension of tuesday (chart attached). same story as before just cruising to the upside.
trend up, volatility low, key level 200MA 5min (chart attached), then 1224, or if we go to 1245 area.
pre market; trickle down to 200MA 5min on weak volume. jobless claims just came in down 1,000. oil inventories @ 1030AMEST, market obvisouly betting there down from katrina. i have a few QM longs (i will get out before the news, i want to know how bad inventories shrank and traders reaction are they going to sell the news?, this will give a good idea today) and ES longs and im thinking today whatever one starts to take off im adding to. oil 64.95.
j.