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Direct MessagesDate/Time: Sat, 04 May 2024 02:00:09 +0000
Post From: An interesting and open question for all traders in the Board
| [2019-10-16 19:26:34] |
| User972768 - Posts: 166 |
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I don't think there is a clean way of measuring intraday volatility. It depends on what you want to measure it against: - as a constant flow. Let's say we measure volatility based on 1 min chart comparing current minute of the RTH session volatility against previous ones - as a volatility of current interval against same interval for number of days (let's say 9:30-9:31 period against same periods in last 20 days) Based on the above we have at least 2 major ways. Then 1st one would split into: - volatility within just current session - volatility of current interval against similar in size intervals on "uninterrupted" data set covering multiple RTH sessions From above, it is easy to say that products like ES (indexes in general) will have higher volatility during 1st hour of cash session and around last 30 minutes of the cash session. This way intraday volatility will be kind of predictable with some spikes during news events like FOMC minutes. All in all, mathematical volatility will be a bit useless for intraday. On a daily scale it is quite useful, though. Here is example how to calculate annualized volatility: https://www.fool.com/knowledge-center/how-to-calculate-annualized-volatility.aspx?Cid=8XddlB IMHO something simple like ATR is good enough to measure current intraday volatility. Just use small parameter value like 4. This way on 5-min chart ATR(4) will measure running volatility based on 20-min rolling window |