Forums - The most downwardly volatile market in general

HOME FORUMS BROKERS SOFTWARE BOOKS CONTACT US

Your Account • Become a Member • Help • Search

	Forums ›› Main ›› Trading ›› The most downwardly volatile market in general

Page 1 of 2: 1 2

sj8070

Registered: Nov 2010
Posts: 10

09-07-12 11:11 AM

hi all,

I am currently working an one of my most promising and interesting strategies to date, and I look forward to sharing it with this forum once complete.

But first, a question...

Which is the most downwardly (or upwardly (e.g. VIX)) volatile security in the marketplace since 2007?

i.e. assume all securities have a neutral bias (EMH) but we can speculate that one direction may be more likely than another, as the magnitude of any given move may differ

For example, in the period, S&P went up with ~55% probability over any given day. Here i force the beginning and end levels (1406.58) to be the same to reduce any bias.

Edit/Delete • Quote • Complain

sj8070

Registered: Nov 2010
Posts: 10

09-10-12 08:05 AM

let me rephrase

The S&P is more likely to go Up than Down on any given day.

This does not mean the S&P tends to trend upwards necessarily - Down moves tend to be bigger than Up...

Is there another market that is more extreme than the S&P, generically, in this regard?

i.e. has very large down moves and small incremental up moves

Edit/Delete • Quote • Complain

promagma

Registered: Aug 2004
Posts: 781

09-10-12 01:30 PM

Make a synthetic trading vehicle based on martingale strategy

Edit/Delete • Quote • Complain

Rationalize

Registered: Jan 2010
Posts: 774

09-10-12 02:02 PM

Quote from sj8070:

let me rephrase

The S&P is more likely to go Up than Down on any given day.

This does not mean the S&P tends to trend upwards necessarily - Down moves tend to be bigger than Up...

Is there another market that is more extreme than the S&P, generically, in this regard?

i.e. has very large down moves and small incremental up moves

Look at the implied volatility skew for different asset classes.

Edit/Delete • Quote • Complain

sj8070

Registered: Nov 2010
Posts: 10

09-10-12 02:13 PM

Implied or actual?

In fact a spread between the two might be the most interesting measure

Edit/Delete • Quote • Complain

Rationalize

Registered: Jan 2010
Posts: 774

09-10-12 02:16 PM

Quote from sj8070:

Implied or actual?

In fact a spread between the two might be the most interesting measure

Well, implied is easier to look up

Agreed about the spread being interesting.

Questionable as to how valuable vs misleading. Thoughts?

Edit/Delete • Quote • Complain

Page 1 of 2: 1 2

Receive an email whenever a new post is added to this thread by subscribing to it.

Rate This Thread:

Forum Jump:

Conduct Rules - Privacy Policy - Day Trader - Day Trader Forum - Best Trading Software - Sitemap

WHILE YOU'RE HERE, TAKE A MINUTE TO VISIT SOME OF OUR SPONSORS:
Advantage Futures Futures Brokerage & Clearing AMP Global Clearing Futures and FX Trading Bright Trading Professional Equities Trading CTS Futures Trading Software DaytradingBias.com Professional Trading Analytics ECHOtrade Professional Trading Firm	eSignal Trading Software Provider FXCM Forex Trading Services Global Futures Futures, Options & FX Trading Interactive Brokers Pro Gateway to World Markets JC Trading Group Direct Access Trading MB Trading Direct Access Trading	MultiCharts Trading Software Provider NinjaTrader Trading Software Provider OANDA Currency Trading optionshouse Option Trading & Education Rithmic Futures Trade Execution Platform SpeedTrader Direct Access Trading	SpreadProfessor Spread Trading Instruction thinkorswim by TD Ameritrade Direct Access Trading TradersStudio System Building & Backtesting Trading Technologies Trading Software Provider Trend Following Trading Systems Provider