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Tabulating hourly historic volatility data for different futures instruments.


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Tabulating hourly historic volatility data for different futures instruments.

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  #1 (permalink)
 Silent warrior 
Boston, MA
 
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With the intent of trading only at times of maximum volatility, I'd like to objectively document and grade which periods of each day during the week are historically the most volatile (i.e. Median number of expected tick excursion per 15, 30, or 60 minutes). Does anyone have a suggestion for an out of the box Excel template/data source/setup for this purpose?

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 choke35 
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There is a whole thread on this topic:


Thankfully @Fat Tails also provides the indicators.

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