Discussion in 'Index Futures' started by TriPack, Sep 2, 2003.
Volatility is bound to return. Will it be sooner or later?
I wish I had a crystal ball, but I don't, so I have no idea. Sooner I hope, later I expect...
Mind you, if the daily range % stays the same, and the rate of increase continues at the same overall pace as it has from the bottom of the market, before too very much longer, ES would be hitting 1300 - 1400 with a daily range of around 20 points, and NQ hitting 2000-2500 with a daily range of about 40 points. (averages).
So if (not saying it will) that happens then things will be more open anyway, and If at the same time range % hits 2% on ES and 2.5% on NQ then we'd be looking at around 25-30 point ranges on ES and 50 point ranges on NQ.
Assuming the markets fall back down and the range percentage continues to contract as it has been recently, then things are going to get a lot tighter than they currently are.
I wouldn't want to even try to predict what will happen, just get myself prepared for whatever does happen when it does...
Added - It's not such a silly question though imo...
Whenever the market becomes news driven.
News driven markets increase market volatility.
We need a war... I suggest we liberate Saudi Arabia starting September 11th... that is bound to get volatility up...
Unfortunately you may be right. I am not implying that another war would be good. But that our nation has been clobbered over the head with so many major events since 9/11 we are numb.
I don`t know about anyone else but I can "see" the News Bollinger bands tightening as we speak.
Soon but not before this market crushes the bears as usual :
Weekly projection on my model gives 10000 in six "normal" weeks (which means 12 weeks possible because of consolidation):
I have rarely seen such a straight line on my model : generally it's a curve rather
Looking back at some stats, the volatility started to decrease co-inciding with many economic news items having their times changed to pre-market, or re-worked completely into new economic indicators and then placed outside the usual previous window of 09.45 - 10.00 a.m..
The implications of this would be that overnight gaps would tend to be enhanced. It seems of late that gaps are actually smaller but I haven't done a study on it. Maybe someone could verify this...
Another aspect is that there are more and more news events creeping back into the old news time window. There was a period (albeit quite short) when there was little by way of 'in hours news', and that did coincide with big gaps regularly.
The other aspect that I've noticed looking at the overnights during that period, is that there is great volatility around the news times, followed by a re-allignment before the market opens, thus reducing the gap effect, and taking the sting out of the volatility...
Maybe someone somewhere in the political arena decided it was time to make the markets less volatile for a while and didn't count on the gap and stagnate effect that occured and have since tried to find a balance? (I'm guessing and thinking out loud...).
Anyway - it's a thought...
(another thought added - why else would the news events be moved around so much in the last year - more than any other time I can remember...)
Overnight gaps are MUCH MUCH smaller, they are almost non-existant most days. I posted a thread about this recently. For 5 years we had huge overnight gaps, many of them over 3% on NDX, and as high as 6% a couple times. But that type of gap action has disappeared during the last 6 months. Will it return? I don't think we will EVER see such drastic gaps again, it was a phenomenon created by the rising and falling Nasdaq bubble market over a 5 year period.
Volatility will return, but never again like we saw from 1998 thru 2002.
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