market volatility

Discussion in 'Trading' started by oddiduro, Nov 21, 2003.

  1. I am trying to find info on market volatility. Can someone point me in the right direction, or simply tell me whether volatility this year is down as opposed to 2002-1998?

  2. You are right the market volatility has gone down significantly. Just look at the average daily range of the S&P as a % of the index value.
  3. From what my good friend Maureen Dowd calls one of the GREATEST POSTS EVER on ET:

    Elite Member

    Registered: Sep 2002
    Posts: 767

    10-17-03 05:41 PM
    Volatility . . .
    As posted on another thread, the volatility has been crushed since March of 2003. In fact, the historic peak in volatility was the 30 months from Jan. 2000 to March 2003 when there were 5 months out of EACH year between 2000-2002 and 2 of 3 in the first quarter of 2003 where there were monthly moves greater than 10%.

    Since March of 2003 we have the following moves:

    April: 8.99%
    May: 6.76%
    June: 5.36%
    July: 5.48%
    Aug: 5.08%
    Sept: 4.95%

    On a weekly basis, we have only had 5 weekly ranges greater than 4% since this past March, and 4 of those were in the 2nd Quarter and only 1 since the end of June.

    By the way, in the 24 years from 1976 thru 1999, the average was 1 per years ( at 8% ) with only 1 year with 4 (1987) and 2 years with 3 ( 1982 &1998 ). The three years 1973-1975 was 25%, and that was the only other period in the 53+ years period of any considerable magnitude. 1970 also sticks out because there were 6 occurences but only 1 other in the 6 years of 1967 thru 1972.

    Of course now the $64,000 questions is whether or not the "storm" of volatility is completely over, or whether or not we are simply passing thru the "Eye of the Hurricane" before another shoe drops!

  4. DK_


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  5. DK_


    last 5 years.. getting too low for my tastes
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  6. The imput here has helped me to explain the consistent anamoly that I get with every system I write and backtest.

    What I keep getting is that this year show lower profits than any of the five years prior.

    This seems to happen regardless of the system I run. I now know that it is not an error in my method, but rather volatility dryup

    :( :mad:

  7. Hi Oddi,

    Let's try to look at this from the positive side. It may enable/force us to learn something we don't know yet.

    Be good,

  8. H2O


    If you still create profits (other than backtest) I'm sure there are a lot of people who would love to be in your position ....:D :D