Ok guys,,,,, we are getting way off topic. I have to correct myself.. I looked at the data again...VIX average per day last 10 years is 20 this year it is 11.82.... I was using the VIX to determine how many points I set me exit at on the ES... 2 points, 3, 4, or 5.... last year from about sept - dec we had VIX daily up to 18, but of course alot of days at 12 or 13. so, what am I doing now? I have been using 3 points as my fixed target and 2 points for stop, it seems to work fine. my daily goal is 6 points. So, maybe I just ditch the whole idea of adjusting my targets and be extremely happy with what's working.
"What I don't understand how we can see some decent swings on S&P but the VIX still stays at 11 or so... etc." I don't understand and been following the markets since early 1980s. We just saw AAPl 'crash' 10% without a flinch or blip in the VIX. Like, are you kidding me??! Sorry to chime in but this has to be a precursor to a large selloff looming. All this complacency. When? Guess we will watch and find out. People forget real soon how BearsSterns and Lehman Bros. crashed and burned. Oh wait a minute ,i forgot, this time is.... DIFFERENT!
FWIW, at this point, were I setting brackets for ES intra-day trades, there is no doubt that I would be using ATRs -- based on actual price movement, rather than any fold or manipulation of any sort of VIX -- an amalgam of volatilities implied by an option market that may or may not have the same goals, timeframe, or participants, as the ES. If you fiddle with an ATR long enough, you can get it to trace out very close to the VIX, but the shorter the term, the more important any differences become. Stay with the ATR for your stops. (There was, BTW, a well-argued ET discussion on this, within the last 6 months. Search on that for both sides.)
okay, this is my first trading day to ever put up ATR on my screen. It seems to me that a reading of over 1.5 or 1.6 is a good trading zone.... I can already see that when it drops to 1.0 or less it is that crappy chop action am I reading this right?
"Never use any "technical indicator" unless you know exactly how it was derived, and can put its meaning into a sentence that both your Mom and your baby sister can understand." Thus, a ten-period of an ATR at 1.30 means that,______________________________________________________________________________________________________. Fill it in, Bro.
The Changing Face of Volatility Traders Magazine Online News, June 13, 2017 Rob Daly inShare With the Chicago Board Options Exchange's Volatility Index not closing above 13.75 for the past year, many in the industry are left scratching their heads wondering whether low volatility is the new reality for the US equities market. "Whenever something is the new norm, I know it is about to change," Chris Concannon, president and COO at the CBOE, told the audience at Sandler O'Neill's Global Exchange and Broker Conference in Midtown Manhattan last week. "I continue to hear that theme that this low level of volatility is the new norm. It's not, and it's going to change." Chris Concannon "I don't think we are out of the world of high volatility," agreed fellow speaker Rocky Fishman, equity derivatives strategist at Deutsche Bank Securities. However, Fishman also noted that the nature of volatility has changed. "We are not going to be in a world where you have a volatility regimes that last for a year or two anymore," he added. "The volatility cycle is compressed, and you are going to see high and low volatility more often than we did before the financial crisis." Driving the change is how electronic markets distribute information to their participants quicker as well as the further adoption of machine learning, explained Nicholas Colas, chief market strategist at Convergex. "Think of the self-driving car market," he suggested. "A person can drive a car pretty well with fairly low error rates and a human-dominated market can do the same. As you infuse artificial intelligence and information into a bigger algorithm to drive market and asset prices, volatility should collapse over the next two, three, four, 10, or 20 years in the same way self-driving cars have fewer crashes than those driven by humans." Daniel Coleman, CEO of Knight Holdings, thought it would be wrong to divorce human actors for the market and that the low-volatility environment is nothing new as he cited Nick Leeson. "He pinned the Nikkei futures in 1994, and they didn't move and traded with a three volatility for nine months," he said. "Then the Kobe earthquake happened, volatility blew up, and it took down Barings Bank and a bunch of other people. There is an overarching human element to this: If I can take on risk and be compensated for it and not be penalized, I'm going to keep on doing that until I get hurt." Speaking during the conference's lunch, Ken Griffin, CEO of Citadel, also attributed the current low-volatility environment to the interventionalist policies that central banks around the world have pursued for nearly a decade. "That is the dominant effect on the markets, hands down," he said. Griffin also sees stat-arb traders contributing to low volatility by continuing to chase stock reversals. "This community is pushing stock prices back to where they recently were," he said Eric Noll, former president and CEO of Convergex and who spoke earlier, sees active asset managers contributing to low-volatility as well since it is difficult for them not to participate in the markets. "If you feel very strongly that the market is over-valued and you go to cash, you are going to show a massive amount of underperformance," he said. "If the market continues to bleed upward however slowly that happens, then you are going to get outflows. So what ends up happening is that active managers tend to stay invested either they become closet indexers or they just stay in their holdings and hope they can get out of the way when the bad stuff happens." Most of the conference speakers agreed that volatility will return to the markets, but remain unsure when it will happen. "It is very much a function of what the equities market looks like, which are a function what the economic conditions are," said Deutsche Bank Securities' Fishman. "Part of this exercise is figuring out when we are going to have a recession. That is something that is very difficult to figure out." http://www.tradersmagazine.com/news...l?ET=tradersmagazine:e3064:1175783a:&st=email