Volatibility of Different Future Markets

Discussion in 'Financial Futures' started by WmWaster, Apr 1, 2006.

  1. Volatibility of Different Future Markets

    I would like to know the volatibility of different future markets, so I can choose the best ones to daytrade.
    Is there any website which can provide such statistics?

    Any recommendation of the most volatile futures in the world? :p
  2. Here are my favorite instruments that currently has excellent volatility and will probably be among the top volatile trading instruments when you do find a website listing...

    CME EuroFX EC
    Russell 2000 Emini ER2
    Eurex Derivative DAX
    Euronext FTSE-100
    Euronext CAC-40
    NYMEX Light Crude Oil CL
    NYMEX e-miNY QM
    Hang Seng HSI

    From the above...the current favorites are EC and ER2.

    However, volatility will change from one trading day to the next and I may have a different favorite from the above list.

    (a.k.a. NihabaAshi) Japanese Candlestick term
  3. Simex


    I would also like to know which markets are the most volatile and tradeable.

    KOSPI (must buy options) has excellent intraday movement and volume.

    What we are looking for is cheap margin, half-margin tradeable, good range of movement, and good liquidity.
  4. you could probably add silver futures to that list

    for the time being ....

    but the liquidity and spreads are not so tight

    as some of the other markets listed
  5. FredBloggs

    FredBloggs Guest

    yes. less liquidity = more volatility more often than not.

    wmwaster - do you see volatility as a good or a bad thing?

    would you be better off going for a less risky/volatile market, but trading with larger size? generally, it is easier to make a point in es with 2 contracts (2 lots x 4 ticks = $100) than it is to make 1 point in er (1 lot x 10 ticks = $100). this is one reason why pros tend to trade interest rate futures (eurodollar, bund, bond etc) over stock index futures that tend to be focused on by the retail market (who is usually considered to be wrong about most things).

    some will disagree and find er is easier to make 10 ticks in than 1 point in es - but there we go. we are all different.
  6. Thanks for your advice.

    I do realise that volatility should not be the only criteiron to choose which market to trade. If you notice my first post, I don't really mean to trade only the most voliatile markets. I just wish to know the volatility of different markets. With this information, I could make better decisions based on my other criteria like liquidity.

    Let's talk about how I choose a market. I'll look for 3 things:
    - margin level (capital costs)
    - liquidity (average possible contracts tradeable at one time)
    - volatility (average volatility per day)

    The formula is somewhat like:
    average daily volatility / margin level * average min liquidity

    The higher the value, the more likely I will trade at these markets. Sure it's just an indicator which I don't full rely on. Other factors might be considered too (eg time, the status of the market, sudden huge spikes, sudden gaps)
  7. FredBloggs, any comment about my approach?
  8. Here is a list of markets sorted by "dollar volatility of a one-contract position". The most volatile is the JGB (Japanese Government Bond, traded at the Tokyo Stock Exchange) and the least volatile is the LIBOR traded at CME.


    However, I suspect that what YOU are interested in, is a list of markets sorted by "Average True Range expressed in Ticks". I suspect that, for you, volatility means "moves lots of ticks in a day." I'll bet you can write that computer program (or hire somebody to write that program) fairly quickly.