Yesterday's Hi-Lo range on the ES: a favor

Quote from funky:

SPY is in an 80 cent range today. wouldn't touch it with a 10 foot pole!
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Also looks as if SPY is heading towards the lowest volume full day of the year.
 
Quote from candletrader:

Fortunately I only traded once today (for a small loss)...
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Looks like 3 days inside the 5th August bar. I wonder where this is going next...

Best

Natalie
 
Quote from Girlpower:



Looks like 3 days inside the 5th August bar. I wonder where this is going next...

Best

Natalie
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Looks like the only news is busted stops after they cascade to open the H/L for the day....lol
 
Quote from acrary:



Thank you Natalie.

Yes, that's very important. I just did a correllation test between the closing prices for the year and the ave. daily range (95 - present) and it came out to .83. So it seems to account for about 70% of the volatilty changes that we've seen. Hopefully the SP will stay above 740 (SPX close at end of 96). I must admit I did get nervous when the SP was hanging around 800.

Sure hope there's a bull market coming up soon.
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Acrary, I'm not sure what you mean by "it seems to account for about 70% of the volatility changes". Did you mean that the reduced level of the index accounts for the change in volatility?
In what way?
If you check the figures I provide below, volatility has been steadily increasing since 1995 regardless of the index level, the only exception being this year.

I used your data for the average daily range (the "perfect trader" data) and calculated the average price of the index for that year by taking bimonthly data (except for 03, monthly).

The %figure is the avg volatility then. I done it manually, as I'm not using any datamining software.

(Year, daily range, volatility)

1990 5.0 1.49%
1991 4.6 1.22%
1992 3.8 0.91%
1993 3.5 0.77%
1994 4.1 0.94%
1995 4.3 0.79%
1996 7.4 1.10%
1997 13.8 1.58%
1998 17.7 1.64
1999 20.7 1.58
2000 26.1 1.84
2001 21.1 1.77
2002 20.0 2.04
2003 15.5 1.70


So, obviously the absolute range will fall with the index level, but the actual %volatility has been, according this, steadily increasing.

Of course that has implications in terms of extra commissions if you need to increase trade size to compensate, but why would you suggest that the increased size has greater risk implications? The value of the stop is obviulsly going to be smaller too isn't it? Or did you mean that risk is increased simply because you're holding more contracts? (and anything can happen)
 
Gordon Gekko,

Your are now in the trap of anticipating, based on opinions, and not trading what is on the screen right before your eyes...External information is the worst info you can get...You start to trade it instead of the market...Greenspan speaks, trade the system you have backtested and proven for years..GO OUTSIDE THE BOX...LEARN FROM NO ONE BUT YOURSELF. IF YOU CAN'T FIGURE IT OUT, LEAVE IT ALONE...
 
This summer is very similiar to the one two years ago before 9/11. I think this year we will see how '01 would have played out without the attack.
 
Here is a chart of the % of the open price that the Range of NQ has for 2002 and 2003 ytd

Interesting contraction

Again - I'm hoping that this contraction doesn't continue on its current trend, and bottoms out soon, otherwise the 0.5 spread is going to become a significant factor...

best
Natalie
 

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Tick size, measured as average % of monthly average daily range, is currently running at about 1.7% of range on ES and about 2.1% on NQ.


Just another little statistic that may be useful to someone. :)

Best

Natalie
 
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