RE: Re[2]: Is it just me, or is the market dead?

["Gary Fritz" <fritz@xxxxxxxx>]

> Can you also provide more statistically valid ranges expressed as a
> percentage of average annual price level ? 

Run this indicator on daily data:

        vars: sum(0), sumprice(0), num(0);

        if year(date)>year(date[1]) or lastbaronchart then begin
        	print(year(date[1])+1900:4:0,": #days = ",num:3:0,
        		", Avg range = ",sum/num:2:2,
        		", Avg price:  ", sumprice/num:4:2,
        		", % = ",100*(sum/num) / (sumprice / num):1:2);
        	sum = 0;
        	sumprice = 0;
        	num = 0;
        end;

        sum = sum + H-L;
        sumprice = sumprice + (H+L)/2;
        num = num + 1;

        plot1(100*(H-L)/((H+L)/2), "Range%");
        plot2(xaverage(100*(H-L)/((H+L)/2), 40), "Range avg");

When I run it on continuous SP, I get:

1998: #days = 249, Avg range = 17.64, Avg price:  1293.38, % = 1.36
1999: #days = 245, Avg range = 20.79, Avg price:  1485.69, % = 1.40
2000: #days = 252, Avg range = 26.11, Avg price:  1519.05, % = 1.72
2001: #days = 250, Avg range = 20.93, Avg price:  1213.28, % = 1.72
2002: #days = 202, Avg range = 20.49, Avg price:  1019.06, % = 2.01

So according to this measure, the volatility has been going UP on 
a yearly basis, as a percentage of average price.

Furthermore, if you look at the plot1/2 values, you'll see the 
daily ranges were running in the 1.25-1.50% range for the first 
half of the year, but have been over 2.50 for the last several 
months.  So by this measure, the recent volatility is 
historically quite high.

Gary