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ES intraday volatility recently

  #4 (permalink)

sydney + nsw australia
Posts: 16 since Jul 2013
Thanks: 8 given, 6 received


choke35 View Post
If you regularly take a look at the VIX futures which measure the implicit volatility of S&P 500 options,
this will not happen to you again. As you can see, the VIX index (composite of the VIX futures) has
just dropped to long-term lows. OTF traders stay away at these levels since there is absolutely no
reason for trades unless unexpected news hit the market. For scalpers it means that the average
daily noise (ADN) drops to levels with only a very small margin for correcting mistakes. (Noise traders
like scalpers implicitly rely on the ADN because it represents the chances of realizing a noise trade
of magnitude x; ADN is ~3p at the moment for the ES).

Thanks for the response.

I tried to find the calculation for ADN but could only find 1 reference to it. It may not be the one you are referring to. Do you have the calculation that you use? Do you take an average over how many days?

Does anyone else have the calc for ADN?

This is the only reference I could find:

Calculate Daily Noise which is smallest of the below 2 calculations:
1. Abs(Prev Day pit session Hi - Previous Day open)
2. Abs(Prev Day pit session Lo- Previous Day open)

Calculate the average over n days of Daily noise as input by the trader. The is the AVerage Daily Noise(ADN)

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