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ES intraday volatility recently

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Trading Experience: Intermediate
Platform: NinjaTrader
Favorite Futures: Es
Posts: 170 since Nov 2012
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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).

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Hi Choke,

Is it because of the price of vix around 12 or the small size (range) of the daily bars of vix, that we are seeing the otf traders staying away?

Thank you

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