Not very volatile

[daniel_m]

Originally posted by Pabst

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.

my only qualm with pct vol is that you are forced to take on more shares.....so all things being equal - ie the same pct vol as now with higher share prices - so that with the same share size, i get more bang for my buck, in volatility terms..

 

[Kymar]

Originally posted by Aaron



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.

30-day volatility is a rather misleading measure, at least as far as day-tradability is concerned, as it includes some high-range days grouped together near the beginning of the "lookback" period.

Volatility and range have both been trending down rather sharply over the period: If you compare the short-term average range and short-term volatility to longer-term measures, the relationships are near extremes - i.e., very recent ranges and volatility are very low compared to somewhat longer-term averages on major indices.

It's clear on the SPX:

 

[Kymar]

but even more dramatic on the NDX, where we just put in, on Friday, the lowest range non-holiday session since '98 (in total points, not in percentage terms).