Volatility and price expectation

NexusFi · 2021-02-18T18:51:21-05:00

Periods of low volatility are more common than high volatility creating the huge cluster of points in the bottom left. Most of those points were from 2019 in this image. Hence will happen 68.2 percent of the time or less. (Looking at one Standard Deviation) This year we've had more volatility than normal meaning that if you were relying on that line holding for your trades in 2020 you probably had a pretty bad year. 2019 and 2020 are not the same year but they are actually statistically no different. You …

Discussion in Emini and Emicro Index

Updated February 18, 2021

Volatility and price expectation

February 18th, 2021, 06:51 PM

#31 (permalink)

SpeculatorSeth is a Vendor

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WoodyFox

I have one question for ya.

Over time will the realized range fall within the expected range, based of implied volatility, 68.2% of the time or less?
If your answer is yes. Good.
If you answer no and can prove it, I will personally enter you for the David Hilbert Award. LOL just sayin.

Read this https://info.veritasts.com/insights/what-are-historical-and-implied-price-volatilities-telling-us

Past performance is not indicative of future results. Without a mathematical proof to show why that percentage is constant we should always assume that such stats can change.

But there are periods where it is less than that, and it's up to the trader to determine for how long that can go wrong before they can't trade that strategy.