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peter,
The average S&P(not cash) cumulative daily range over the last 2 years is
10.10. Just add all of daily ranges and divide by the number of days. Is
that what your looking for?
Brent
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From: peter <derivatives@xxxxxxxxxxx>
To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
Subject: HELP!!!!!!!!!!!!!!!!
Date: Sunday, September 20, 1998 2:42 AM
My fellow RT'ers
I would like your thoughts on a matter.
I have been working an analysis study (statistical) on the S&P cash
market, & require a volatility figure for the market. I know the
appropriate answer I seek due to interpolating the analysis & working
backwards in a sense.
This volatility figure is around 11-14% , is calculated daily, & is stable
around the 11-14% range every day. In fact it is stable at around 11-14%
even on a weekly , monthly & yearly basis. ie weekly volatility figure is
11-14% itself etc
The problem is that I dont know the calculation of it.
I have tried ATM implied volatility of S&P options,variance, SD on cash &
confidence intervals, etc & some other obscure ones, but they are all to
high so they are not the basis of the calaulation that I am looking for..
Basically, do you know of any volatilty calculation which fits the above
parameters which I have mentioned. It may not even be of a statistical
nature but could also be TA based.
The volatility figure also is between 11-14% on other markets on a daily
basis such as the hangseng, & xau. It also is at that level when I
consider weekly, monthly & yearly data. So, although the figure changes
daily, it is a stable figure of around 11-14% on multiple markets & on
multiple time frames.
In essence the volatility figure serves as an adjustment factor to to
enable the calculation of the markets true data structure.
ANY suggestions or advive would be most appreciated
Peter Karaguleski
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