The market today is not as volatile as people predicted. It proved we cannot and should not forecast anything in the market. We can only follow the market.
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Not very volatile
- Thread starter ADX_trader
- Start date
I heard somebody on CNBC comment that the votality of TW isnt what is use to be. He stated that the hedge funds who are becoming more and more of the volume in trading tend to square up the day before.
John
John
Volatility has been drying up since May. I miss those days when a stock would rise or drop a buck or two.
Originally posted by thunderbolt
Volatility has been drying up since May. I miss those days when a stock would rise or drop a buck or two.
How are you measuring volatility, thunderbolt? Most implied volatility and historical volatility measures are much higher now than they were in May. See the attached chart for a plot of the SPX implied and historical 30 day volatility.
Attachments
Originally posted by thunderbolt
Volatility has been drying up since May. I miss those days when a stock would rise or drop a buck or two.
what??
"drying up"?? dude, you must certainly live on another planet to the rest of us.....
May was followed by the most volatile times 2002 has seen, and you call this 'drying up'??
Pabst
Senior Member
Registered: Dec 2001
Posts: 351
06-04-02 11:53 PM
Although intraday volatility has contracted quite a bit, i.e. not many stocks quadrupling in a month like early 2000, INTER DAY (daytrading!) vols are about the same. In other words a 1 dollar range on a ten dollar stock is analogous to those 20 dollar ranges that JNPR used to have at $200. Given that one's buying power is directly correlated to the price of the underlying, this environment is no more or less difficult then two years ago. Yes trading ten times bigger costs more, and liquidity is a concern, but plenty of opportunity abounds.
daniel_m
Elite Member
Registered: Apr 2002
Posts: 862
06-05-02 12:00 AM
quote:
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Originally posted by Pabst
Although intraday volatility has contracted quite a bit, i.e. not many stocks quadrupling in a month like early 2000, INTER DAY (daytrading!) vols are about the same.
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I think you've got it the wrong way around. "Inter" means "between. So interday, means "between days", or, in other words, from day to day.
"Intra" means "within". So intraday would be "within the day". Daytraders, of course, are more concerned with intraday ranges.
The "intraday" range, the high-low of the day, is a LOT smaller today than it was just one year ago, let alone in 00. Don't take my word for it, check it out on a chart yourself.
__________________
I Trade Therefore I Am
Pabst
Senior Member
Registered: Dec 2001
Posts: 351
06-05-02 09:00 AM
Dan; Thanks for the correction on Intra vs. Inter. What I'm saying though is that the PERCENTAGE moves are the same now as always. Merely looking at a chart only gives you the true range. In fact the lower the market goes the GREATER the PERCENTAGE moves are likely to be. In the 1930's many of the biggest pct. moves occurred, both up and down. It's easier for a $2 stock to go to $3 than a $20 stock to move to $30.
daniel_m
Elite Member
Registered: Apr 2002
Posts: 862
06-05-02 09:24 AM
quote:
--------------------------------------------------------------------------------
Originally posted by Pabst
Dan; Thanks for the correction on Intra vs. Inter. What I'm saying though is that the PERCENTAGE moves are the same now as always. Merely looking at a chart only gives you the true range. In fact the lower the market goes the GREATER the PERCENTAGE moves are likely to be. In the 1930's many of the biggest pct. moves occurred, both up and down. It's easier for a $2 stock to go to $3 than a $20 stock to move to $30.
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Ok, you're talking percentage moves. That's different. Percentage moves don't particularly interest me, I'm more concerned with how much a stock will move in dollar terms, so I prefer higher priced stocks. Eg, I'd rather trade stock ABC with a average range of $3 at $60 (roughly 5%) than a $10 stock with a $1 range (10% move). That's why I prefer trading something like KLAC rather than CSCO. For example, to make $200 (gross) I could either catch a 20c move on klac with 1000shares or a 5c move on CSCO with 4000. In the latter case, IB comissions would be $45RT, so its a better deal taking klac anyway. (Plus, I don't have any real proof, but imo, klac would move 25-40 cents as easily as csco moving 5.)
Also, if you look at a lot of the techs in early 01, that are still priced at similar prices today (there's not many!), you'll find that the percentage volatility was greater (albeit slightly) back then aswell.
Senior Member
Registered: Dec 2001
Posts: 351
06-04-02 11:53 PM
Although intraday volatility has contracted quite a bit, i.e. not many stocks quadrupling in a month like early 2000, INTER DAY (daytrading!) vols are about the same. In other words a 1 dollar range on a ten dollar stock is analogous to those 20 dollar ranges that JNPR used to have at $200. Given that one's buying power is directly correlated to the price of the underlying, this environment is no more or less difficult then two years ago. Yes trading ten times bigger costs more, and liquidity is a concern, but plenty of opportunity abounds.
daniel_m
Elite Member
Registered: Apr 2002
Posts: 862
06-05-02 12:00 AM
quote:
--------------------------------------------------------------------------------
Originally posted by Pabst
Although intraday volatility has contracted quite a bit, i.e. not many stocks quadrupling in a month like early 2000, INTER DAY (daytrading!) vols are about the same.
--------------------------------------------------------------------------------
I think you've got it the wrong way around. "Inter" means "between. So interday, means "between days", or, in other words, from day to day.
"Intra" means "within". So intraday would be "within the day". Daytraders, of course, are more concerned with intraday ranges.
The "intraday" range, the high-low of the day, is a LOT smaller today than it was just one year ago, let alone in 00. Don't take my word for it, check it out on a chart yourself.
__________________
I Trade Therefore I Am
Pabst
Senior Member
Registered: Dec 2001
Posts: 351
06-05-02 09:00 AM
Dan; Thanks for the correction on Intra vs. Inter. What I'm saying though is that the PERCENTAGE moves are the same now as always. Merely looking at a chart only gives you the true range. In fact the lower the market goes the GREATER the PERCENTAGE moves are likely to be. In the 1930's many of the biggest pct. moves occurred, both up and down. It's easier for a $2 stock to go to $3 than a $20 stock to move to $30.
daniel_m
Elite Member
Registered: Apr 2002
Posts: 862
06-05-02 09:24 AM
quote:
--------------------------------------------------------------------------------
Originally posted by Pabst
Dan; Thanks for the correction on Intra vs. Inter. What I'm saying though is that the PERCENTAGE moves are the same now as always. Merely looking at a chart only gives you the true range. In fact the lower the market goes the GREATER the PERCENTAGE moves are likely to be. In the 1930's many of the biggest pct. moves occurred, both up and down. It's easier for a $2 stock to go to $3 than a $20 stock to move to $30.
--------------------------------------------------------------------------------
Ok, you're talking percentage moves. That's different. Percentage moves don't particularly interest me, I'm more concerned with how much a stock will move in dollar terms, so I prefer higher priced stocks. Eg, I'd rather trade stock ABC with a average range of $3 at $60 (roughly 5%) than a $10 stock with a $1 range (10% move). That's why I prefer trading something like KLAC rather than CSCO. For example, to make $200 (gross) I could either catch a 20c move on klac with 1000shares or a 5c move on CSCO with 4000. In the latter case, IB comissions would be $45RT, so its a better deal taking klac anyway. (Plus, I don't have any real proof, but imo, klac would move 25-40 cents as easily as csco moving 5.)
Also, if you look at a lot of the techs in early 01, that are still priced at similar prices today (there's not many!), you'll find that the percentage volatility was greater (albeit slightly) back then aswell.
Originally posted by daniel_m
thanks for that flashback Pabst...
I hope you weren't trying to say i'm talking out of both sides of my mouth....Thunderbolt is saying that volatility has dried up since MAY THIS YEAR....which is obviously not true..
I would never say, that you of all people are not straight. Just couldn't help but remember our exchange last spring. Think it's an issue that we have a bit of a different perspective on, but it doesn't mean right or wrong, just personal preference on pct. vol vs. "real" vol.