For example, with the emini S&P 500, some days it seems like the average move over 15 minutes is 2 points. Other days, it's 5 points. It would be nice to be able to figure this out so I can make accurate stop loss projections instead of relying on the Vix.
Is there a reason why you don't give any specific examples via charts of dates/time/interval. ??? Mark
1) Focus on the time of day. The first and last hours, and their 15-minute price bars, of the session ought to have "bigger" ranges. Mid-day would tend to have smaller ranges. 2) Be cognizant of the option implied volatility for an expectation of the daily range. You can avoid having sell-stops that are too small with respect to the movement in the market. 3) Consider trading the Russell Index.
The first and last hours have bigger ranges because the volume is naturally higher. The key is determining what that volume will be Obviously there is more volume at support/resistance levels but that doesn't explain the difference in between days like 5/12 and two days later. How would you go about getting the option implied volatility? Also, I was curious what you like better about the Russell Index vs. the ES? TIA
There is a direct mathematical relation between the VIX and the expected move in SPX, and similarly for the other indices.
1) Try not to get too distracted by volume. Stay focused on price fluctuation. 2) You'd have to be more specific about what happened on May 12th and 14th. 3) "That" can be derived from the option price. If you multiply price times implied volatility and divide by either 16 or 19, you can have an idea of the "sigma", the average daily expected range for a market. 4) You may find the Russell to be smoother trending and less choppy than the ES.