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What *is* the market?
1) S&P and DAX indexes are wheighted averages. Look at these numbers from Value Line Index (not a wheighted index):
year %vol
2003 1.40%
2002 1.93%
2001 1.58%
2000 1.32%
1999 0.92%
1998 1.15%
Not the same conclusions -- 2003 VLI volatility is above 1.38% average.
2) Looking at the SPX numbers, 2000, 2001 and 2002 were bear markets. Downside volatility is greater then upside volatility in the index and the correlation between stocks tend to increase in down markets (the CAPM nightmare).
3) daytraders and electronic traders: 40%+ of NYSE volume is from program trading (official). I believe there is an increasing volume being done by hedgers and arbitrageurs, not directional traders.
How can we forecast decreasing volatility?
Dario
-----Original Message-----
From: david b. stanley [mailto:davestan@xxxxxxxxxx]
Sent: quarta-feira, 15 de Outubro de 2003 7:43
To: omega-list@xxxxxxxxxx
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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