Index volatility is coming down

Discussion in 'Index Futures' started by TraderD, Mar 20, 2004.

  1. TraderD


    If you take daily chart for NQ, and divide price by ATR(14), you will note that the ratio is coming down relative to 2000-2002. Basically, in percentage terms, NQ "moves" less now.

    This has immediate consequences on some of my systems - profitability goes down since moves (in percentage terms!) are smaller.

    Would be nice to have that volatility back.
  2. ig0r


    stop hoping and cut your losses
  3. TraderD


    there is no losses, my post mentiones "lower profitability"....
    i know hope is a "bad" word in trading dictionary, let's see if I can alter original post..
  4. ig0r


    losses does not imply monetary losses, my point was to deal with it, change with the market and don't be left behind :)
  5. Vienna


    "Low volatility begets high volatility and vice versa"- John Bollinger
  6. TraderD


    Amen to that. The question is how low is low. What if NQ settles into some boring range for few years until new money comes into equities?
  7. Then everyone will be trading gold, beans and wheat again like they were in the 70's.
  8. Who wants beans @ $12?
  9. Trader's want beans at $12 or even $16 so they can short it. Look at sugar, 200k in open interest but only 10 tic ranges since no one wants to short sugar at 6.5 cents. Once it rallyes to 8-12 cents a lot more intraday moves since shorts are more interested-more push/pull action, more disagreement in value.
  10. I posted on this exact subject a few months ago, and at the time pointed out the market no longer "gaps open". Whereas the NQ used to open several percent above or below where it closed the day before, it no longer does that, normally opening in almost exactly the same spot it closed the night before.

    In my opinion, the volatility we saw in NQ from 1998 through 2002 will never return, that was a once in a lifetime thing. Yes, there will be times when it is more volatile again for a week, or a month, but I don't think we will see 5 years of extreme volatility again.

    That was a bubble that inflated and deflated, and that's not going to happen again anytime soon. There will be more bubbles that burst, but it will be something different next time. (maybe even real estate ?? nothing goes up forever ? )
    #10     Mar 22, 2004