Volatility is Back..

[southall]

What is strange is the liquidity (Depth). Beside holidays and news events there used to be at least 1000 orders standing at each price on the ES. However these days it's a mere 500 orders standing at each price ...

Depth and volatility are correlated most of the time.
As volatility increases depth tends to go down and vice versa.
Roughly if the ES range is average 40pts per day, i would expect approx half the depth as when the range is 20pts per day (all other things being equal).

This is because limit orders are spread out more as prices are expected to reach wider extremes on every move that occurs.

 

[wrbtrader]

After a Summer with limited meat on the bone, range and thrust are back. The chatter picked up about how the nature of the markets has changed which meant we were close to being back to what passes as "normal" in trading.

Use it or lose it...it won't last long but things may last a little longer due to the pending U.S. elections.

Also, I've traded in 1999. Like you, I do not agree that market conditions (the context) are the same for so many different reasons. We'll just need to wait and see if price reacts the same especially with the pending U.S. elections.

 

[southall]

It seems the market is going to grind higher until the next US recession or the next nasty black swan event.
I wouldn't get my hopes up regarding sustained volatility before then but we will continue to get short term bursts of volatility every know and then which can be traded if you have good discipline.

 

[Zestilio]

Looks like VIX is getting momentum. Could very well see another month and a half long volatility roller coaster.

 

[Michael J. Fletcher]

All this panic is about possible rate hike which is impossible before the election.

 

[Zestilio]

All this panic is about possible rate hike which is impossible before the election.

Because parties wouldn't want to trigger this?

 

[Michael J. Fletcher]

Because parties wouldn't want to trigger this?

Yes, as we saw it today.