S&P Slippage & Tick-to-tick Volatility

["Lincoln Fiske" <lincolnf@xxxxxxxxxxxxx>]

    I'd be interested in hearing what kind of slippage people have been
getting when using stops in the S&P the last couple months, and how it
compares with prior periods, especially if you've been keeping track. I
wasn't regularly trading until late August, just in time for the wildness,
so I have nothing concrete or "normal" to compare to. In about 40 trades,
I've averaged a point slippage per roundturn.
    My assumption (and observation) being that there is an obvious
correlation between tick-to-tick volatility and the slippage one gets, I
made a simple indicator that calculates the average change in price between
ticks at the end of each day, and it reveals some interesting numbers. I
checked randomly back to September, 1996. Back then the average change from
tick to tick was usually .06-.08. By Jan-Mar of 1997 it was generally
.08-.10.  From April 1997-July of 1998 is was usually .09-.12, with
occasional spurts to .20-.25; by far the most common reading was .11-.12.
Starting in mid August, volatility picked up considerably, with most days
over .20 and most in Sept to mid-Oct over .40. The last couple weeks have
"quieted" to .20-.25.
    My expectation is that with this type of volatility having increased to
2-4 times what it was, traders are experiencing much greater slippage on
their stops. Anyone have verification?

Thanks,
Lincoln