Average Daily Movement?

Discussion in 'Trading' started by newtrader80, Jul 23, 2008.

  1. Anyone know what the average daily movement is in the nasdaq and S&P?
  2. Lucrum


    I assume you mean average daily range.

    I just stopped watching the nasdaq but the e-mini S&P futures average range over the last month is 27.98.
  3. Traber


    mypivots.com has all the info for you. click daily notes and it's there for you
  4. What we use is one standard deviation based on historical volatility adjusted for current volatility moves.

    For example, I'll use a stock instead of the overall market, but you can certainly apply the same calculations.

    We'll use GE. 1 year volatilty is around 32, and the previous 30 days is 36, so I'll use 34 as its' volatility. You can use www.ivolatility.com for this information. Keep in mind that we're using historical not implied volatility.

    Current price approximately $30.00. Multiply 30 x .36 = 10.80. Now you divide by the square root of time. If time is one year, we use 19 as the sqare root. So 10.80/19 = .57 cents.

    From this we see that 57 cents range or less will happen two thirds of the time. I actually use this in my GE trading. Since I don't have the privilege of trading all day, I wait for GE to move 50 cents or so and then fade the movement. This works pretty well. Of course, on the bell curve, 2 standard deviations would be slightly over a $1.00 move.

    Hope this helps,

  5. Don,
    I went to ivolatility and wasn't sure where to find historical volatility. For example, you said GE's 30 day and 1 year volatility is roughly 34. I can't seem to find that at ivolatility. Any help would be appreciated. Thanks!
    By the way, great workshop on July 14-16th. Thoroughly enjoyed it!

  6. The square root of 365, the number of calendar days, is ~19. The square root of 256, the approximate number of market days, is 16. Have I been using the wrong number all of these years? Just wondering? :confused: