# Volatility Gone??



## jono1887 (30 June 2009)

Has anyone else noticed that the market has slowed down considerably lately and had become far less volatile  (less volatility = less potential profits)


----------



## motorway (30 June 2009)

Velocity dropped a lot
Smaller trading ranges now at work

Waves need to build upwards ( magnitude not direction  )




motorway


----------



## bowman (30 June 2009)

I'm watching a lot of speccies and most trendline break attempts are getting killed immediately eg. CXM PRW FSE FAS SUR to name a few today.


----------



## Mr J (30 June 2009)

The SPI is an complete and utter joke today.


----------



## Trembling Hand (30 June 2009)

Mr J said:


> The SPI is an complete and utter joke today.




Wait for the 4:00 To 4:10 joke. Always a ripper on 30th of June.


----------



## jono1887 (30 June 2009)

Trembling Hand said:


> Wait for the 4:00 To 4:10 joke. Always a ripper on 30th of June.




what happens? massive sell off?
the volumes havn't been as big lately either...


----------



## Naked shorts (30 June 2009)

jono1887 said:


> what happens? massive sell off?
> the volumes havn't been as big lately either...




End of financial year.


----------



## Naked shorts (30 June 2009)

jono1887 said:


> Has anyone else noticed that the market has slowed down considerably lately and had become far less volatile  (less volatility = less potential profits)




Yes I have definitely noticed. Trend following looks to me like its working again.


----------



## Mr J (30 June 2009)

Didn't even occur to me that today was the end of the financial year.


----------



## Trembling Hand (30 June 2009)

You like that one boys??


----------



## skyQuake (30 June 2009)

Trembling Hand said:


> You like that one boys??




love those fundies 

Cash just slightly below the daily high


----------



## Trembling Hand (30 June 2009)

skyQuake said:


> love those fundies
> 
> Cash just slightly below the daily high




easiest trade of the year.


----------



## MRC & Co (30 June 2009)

Trembling Hand said:


> easiest trade of the year.




lol, by a mile!


----------



## jono1887 (30 June 2009)

Trembling Hand said:


> easiest trade of the year.




why?  (sorry, probably a n00b question)


----------



## wayneL (30 June 2009)

Nice one chaps.

Back to volatility. It certainly seems quiet, but it is worth pointing out that the structural volatility of the market (as defined by 90 day statistical volatility) is still well above the norm for 2003 - early 2008.

The bad news (for day traders) is that volatility could get much lower.


----------



## Trembling Hand (30 June 2009)

jono1887 said:


> why?  (sorry, probably a n00b question)




because the fundies come in and use HUGE volume to push the closing price of the market higher so their performance figures that they will be sending out tomorrow look a bit better. in this case 1% so. its a free ride with all the volume you can want. very rare thing with the SPI to be able to trade that size with such small slippage 

Same old same old game.

I think one year , 2007, they hit it for 100 points in 2 minutes!! that was a ripper 

have a look at this chart, largest vol for a 10 minutes this year.


----------



## Trembling Hand (30 June 2009)

wayneL said:


> Nice one chaps.
> 
> Back to volatility. It certainly seems quiet, but it is worth pointing out that the structural volatility of the market (as defined by 90 day statistical volatility) is still well above the norm for 2003 - early 2008.
> 
> The bad news (for day traders) is that volatility could get much lower.




Something has happened to the SPI thou. We are getting 1 min ATR of 1 friggin tick!!

HSI and Kospi are where the action is for Aussie punters


----------



## jono1887 (30 June 2009)

Trembling Hand said:


> because the fundies come in and use HUGE volume to push the closing price of the market higher so their performance figures that they will be sending out tomorrow look a bit better. in this case 1% so. its a free ride with all the volume you can want. very rare thing with the SPI to be able to trade that size with such small slippage
> 
> Same old same old game.
> 
> ...




ahh i see.... so its for when your trading the index?







so today, it gained 20pts in those last 10 min?


----------



## MRC & Co (30 June 2009)

Trembling Hand said:


> Something has happened to the SPI thou.




LOL.

Something indeed. 

I know of a couple of reasons which I don't think I can put to the public.  But let's just say, if these two do contribute, they are only going to get worse!!!

SPI should just be put to sleep.


----------



## wayneL (30 June 2009)

Over on the US exchanges they have 2x and 3x leverage ETFs on a few of the indicies.

Very popular with day traders.


----------



## doctorj (1 July 2009)

Whilst not exactly vol related, http://www.bloomberg.com/apps/news?pid=20601087&sid=aaeSiksLwotY is worth a read.  The (new) binary nature of risk has had a very interesting impact on the way 'risk' assets are priced in relation to one another.


----------



## MRC & Co (3 July 2009)

For anyone interested in the potential of algo trading to volatility.  Not that I agree with all the article, but some of the strategies are absolutely used.  Just another form of frontrunning as a scalper, only this time, through an algo.

http://www.themistrading.com/articl...ic_Equity_Trading_on_Wall_Street_12-17-08.pdf


----------



## Timmy (3 July 2009)

Thanks for the articles DocJ and MRC.

MRC, that article looks to be from about the end of 2008?  I can't see a date on it but end 2008 seems about right?  Also, on page 4, the numbered point 4, where the authors say : 







> spreads on S&P 500 stocks have doubled in October 2008 as compared to earlier in the year. Spreads in Russell 2000 stocks have tripled and quoted depth has been cut in half



are they referring to the bid/offer spread or to the price range on the day?  I ask because sometimes the terms used in the US are slightly different to the terms used in the English-speaking part of the world , and just want to understand the article fully.

Very interesting stuff and needs to think about implications for retail traders.


----------

