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VIX and Volatility General Discussion


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VIX and Volatility General Discussion

  #91 (permalink)
 
syswizard's Avatar
 syswizard 
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Hey Guys - good discussion all.
However, I'd like to know what is everyone using for short-term volatility in the E-Minis...say a 1000 tick chart or 5 minute chart ?
Right now I am using Highest High minus Lowest Low for 10 bars/periods.
I'm not really happy with that...and wonder if the historical volatility calculation is better ?
Or is there something else I should be looking at ?
I need this measure to basically set stop losses....dynamically instead of fixed.

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  #92 (permalink)
 
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 Erikie 
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syswizard View Post
Hey Guys - good discussion all.

However, I'd like to know what is everyone using for short-term volatility in the E-Minis...say a 1000 tick chart or 5 minute chart ?

Right now I am using Highest High minus Lowest Low for 10 bars/periods.

I'm not really happy with that...and wonder if the historical volatility calculation is better ?

Or is there something else I should be looking at ?

I need this measure to basically set stop losses....dynamically instead of fixed.



What strategy do you want to trade? For me it is not clear . If you trade vix you can calculate vol of vol


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  #93 (permalink)
 
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 syswizard 
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Erikie View Post
What strategy do you want to trade? For me it is not clear . If you trade vix you can calculate vol of vol

Sorry, but IMHO the exact strategy has little to no bearing on the use of a volatility measure.

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  #94 (permalink)
 
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 Erikie 
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syswizard View Post
Sorry, but IMHO the exact strategy has little to no bearing on the use of a volatility measure.



Sorry misunderstood. Assume you trade es mini in a daily graph you can use 10d atr and realised vol % as a dynamic stop loss or target


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  #95 (permalink)
 
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 syswizard 
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Erikie View Post
Sorry misunderstood. Assume you trade es mini in a daily graph you can use 10d atr and realised vol % as a dynamic stop loss or target

Once again, you misunderstood. I am talking about INTRADAY bars...100 tick, 6 tick range, etc.
ATR has no relevance for intraday bars as the close of last bar and the open of the next bar are the same.....99.9% of the time.
re: "realised vol %" - Do you have a formula for that ?
On my platform I have built in: Volatility, VolatilityClassic, VolatilityExVal, VolatilityStdDev, VolatilityStocks.

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  #96 (permalink)
 
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 shodson 
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Volatility as measured by the VIX and its derivatives don't change much intraday, but they can have significant long-term trend moves or large impulse moves across multiple days, weeks, and months. For example, the swift collapse of the VIX after the election was pretty well forecasted by the VIX futures term structure, so that was a pretty great trade for me. I did the same thing with Brexit.

I wouldn't bother trying to day-trade VIX futures.

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  #97 (permalink)
 
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 jackbravo 
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syswizard View Post
Once again, you misunderstood. I am talking about INTRADAY bars...100 tick, 6 tick range, etc.
ATR has no relevance for intraday bars as the close of last bar and the open of the next bar are the same.....99.9% of the time.
re: "realised vol %" - Do you have a formula for that ?
On my platform I have built in: Volatility, VolatilityClassic, VolatilityExVal, VolatilityStdDev, VolatilityStocks.

Why can't you just use range of the bars as volatility? So calculate range of each bar, then stick a moving average on it, and you'll get a volatility measure. Bigger range =larger volatility.

Or you calculate close - open as the range. It would highlight volatility compression.

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  #98 (permalink)
 
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 syswizard 
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jackbravo View Post
Why can't you just use range of the bars as volatility? So calculate range of each bar, then stick a moving average on it, and you'll get a volatility measure. Bigger range =larger volatility.

Thanks for that Jack, but I wanted something more sophisticated that also reflects price action. Right now, Highest High minus Lowest Low is so mis-leading....as that indicator goes up when the market rallies straight up. I need to catch the number of zig-zags or back 'n forth price action. To me, that's true volatility.

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  #99 (permalink)
Lfx987
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syswizard View Post
Thanks for that Jack, but I wanted something more sophisticated that also reflects price action. Right now, Highest High minus Lowest Low is so mis-leading....as that indicator goes up when the market rallies straight up. I need to catch the number of zig-zags or back 'n forth price action. To me, that's true volatility.


Perhaps an ATR based Renko charts cold be a happy medium?

The ATR will give you the volatility component and the Renko chart will give you the zig zag price action element.

The issue you may have is that when ATR changes and you re-configure the renko bar size, you may loose any historic context as all bars get re-drawn to the current bar size.

As you can can see, you will have at least two judgement calls to make:

1) What period ATR to use.
2) What % change you will deem significant to re-draw the Renko bars.


Just something to consider.

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  #100 (permalink)
 
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 suko 
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LPs have jacked the vol on some of the GME strikes to over 1700%


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