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The volatility contraction is a well known phenomenon since the ending of
the last year on european futures markets...and the riduction seems
endless...every month goes worse as the traders' results
I think it depends on low (every day lower) commission level and consequent
scalping activity
Mario
----- Original Message -----
From: "david b. stanley" <davestan@xxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Wednesday, October 15, 2003 8:42 AM
Subject: Re: Is it just me, or is the market dead?
> I cross my fingers that you are right Gary. We have been
> below 14.52 since early summer. There is a lot of intraday gyration
> about the previous day's closing values...something you didn't see
> so much of last spring.
>
> Life is a lot easier when the range averages 15:-)
>
> I'm beginning to wonder if the ease of entry access brought on by
> e-brokers is increasing the volume and decreasing the intraday ranges
> as traders enter and take profits in shorter timespans.
>
> dbs
>
> Gary Fritz wrote:
>
> > > Just bringing up a year-old thread, maybe stimulate a discussion.
> > > Very different picture this year though ...
> >
> > Yes indeed. I re-ran that calculation with data (daily SP, not
> > SPY) up through yesterday. (And this time I made sure to use
> > non-adjusted data. :-)
> >
> > Avg Daily Avg
> > Range Price Rng/Price
> > 1998 17.64 1091.53 1.62%
> > 1999 20.85 1333.98 1.56%
> > 2000 26.36 1439.12 1.83%
> > 2002 19.89 994.76 2.00%
> > 2003 14.52 936.73 1.55%
> >
> > So the current ranges are lower in absolute terms and in % of
> > price terms than we've seen since 1997. How low will they go?
> > Who knows. I wouldn't expect them to go back to the pre-1997
> > levels of 0.75% ranges. It's a different world now.
> >
> > Gary
> >
>
>
>
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