Technical Indicator - Market Vol

Discussion in 'Options' started by KB_TA, Jul 24, 2007.

  1. KB_TA


    Hi there,

    currently I am working on a new technical model - one part of it should benefit from predicting the amplitude of the price change of the market (German Bundfuture). I am however struggling with the fact that I cannot predict the rise in volatility properly. I am interested in being able to forecast whether the market volatility increases or not. Just to clarify, I am not interested in the direction of the price change, just in the extent of it.
    Maybe a small example will help:
    We are currently trading at 111.93 in the German Bundfuture. If the price of the Bundfuture in 1 Month time is still at or around that level I don't want to get a signal, if however the Bundfuture trades at 109 or 114 I would like to get a signal.
    Does anyone know any reasonable technical indicator for this? I tried a lot already. If you have any further questions I am happy to answer them. :confused:

    FYI I also posted this thread in another forum on this site, as I don't know if Options is the right topic.

    Kind regards
  2. I remember reading in natenberg's book (chapter 4), that we can predict the probability of where the stock price will be in future by using the stocks' volatility (standard deviation).
  3. ER9


    iv'e found ROC helpful to some degree giving volatility a value. i have noticed on flat days or days with very narrow range/low volatility (S & P eMini 5 minute charts), ROC values will usually stay contained within 1.7 to -1.7 range. when volatility picks up it will break out of this area.

    not sure it helps you any.
  4. ER9


    7-4 is a really nice example of this.