Tabulating hourly historic volatility data for different futures instruments.

September 15th, 2015, 01:25 AM

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?

September 15th, 2015, 06:45 AM

There is a whole thread on this topic:

Intraday Seasonality Volatility - When to Trade and When Not to Trade

A similar analysis can be quickly done for CL. Again the chart shows the hourly ranges for each weekday during the last 50 days.

Highest volatility is found on Wednesday between 10:00 AM and 11:00 AM EST. What a surprise! Here are further details:
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Thankfully @Fat Tails also provides the indicators.

Tabulating hourly historic volatility data for different futures instruments.

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Tabulating hourly historic volatility data for different futures instruments.