ATR of a spread....

Discussion in 'Financial Futures' started by J-Law, Dec 4, 2005.

  1. J-Law

    J-Law

    Trying to figure the ATR of a spread as to assess a spread's volatility.

    Since, ATR is a sound measure of a spread's vol figured that would be a good place to start
    As you know, a spread daily chart just gives you the close and not a high-low range. This makes it difficult to measure ATR.

    Any ideas out there ????
     
    #1     Dec 4, 2005
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  2. mschey

    mschey

    For historical data, you need to create an intraday chart of the spread and create your own data. I used 1 minute bars to get a fairly accurate idea of the intraday movement of the spread.
     
    #2     Dec 4, 2005
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  3. danoXP

    danoXP

    Can you give me an example of the a futures spread that you are trying to easily measure the ATR?
     
    #3     Dec 4, 2005
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  4. J-Law

    J-Law

    A spread for example is the current seasonal,

    Long Apr 06 hogs/Short Feb 06 hogs.......

    last traded 2.675

    Date Buy Sell Diff Chg
    12/02/05 68.900 66.225 2.675 .475
    12/01/05 70.150 67.950 2.200 -.225
    11/30/05 69.775 67.350 2.425 .425
    11/29/05 68.825 66.825 2.000 .300
    11/28/05 69.450 67.750 1.700 -.250
     
    #4     Dec 4, 2005
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