Background on Volatility Averages Tables

The volatility is the average of the 30 minute price bars for a
particular trading day. 

There are three volatility tables:
1) "price tick" (Cv)  : average of number of price ticks in each 30 min bar
2) "price range"      : average of price range           in each 30 min bar
3) "price range in $" : average of price range in $      in each 30 min bar

The volatility in the TCP text data and in the Visual Graphics is the
price tick volatility. i.e. Cv 

These tables give the minimum (Min), average (Avg), maximum (Max) values of
the 30 minute volatility for the last 90, 5, 10, 15, 20, 40, and 60 
trading days. 

For the last 90 trading days the tables ALSO give the 68% deviation (Dev)
of the values about the average i.e. 68% of all volatility values in the last
90 days are contained in range average-68%deviation to average+68%deviation. 

The tables are updated daily around 10pm. The most leading delivery is
used for those commodities that are not asterisked. For the asterisked
commodities the nearest delivery ONLY is used and for them there is often
insufficient data to calculate the 90 day deviation.

The tables are up-to-date for the latest day of trading.

This volatility attempts to measure the inherent random fluctuations of 
price in a 30 minute time period as well as attempting to place a 
lower limit on structures that can be resolved in an overlay constructed 
from 30 minute TPO's.

There are three ways the 30 minute volatility can be used:
a) Avoid entering a trade if the current volatility is too high. 
   Extensive research shows that too high means values above the 90 days 
   average+68%deviation.
b) Use an overlay with more days if the average volatility is greater
   than the octant value
c) Increase your stop if necessary to be greater than the current volatility

The "price range" and "price range in dollars" tables are for convenience
so you can compare the volatility with octant values/stops expressed as
price ranges or in dollars rather than the number of price ticks. 

However you can INSTEAD derive the "price range" and "price range in dollars" 
values from values in the "price tick" volatility tables as follows:
"price range volatility" = "price tick volatility" * "value under TIK heading"
"price range in $ volatility" = "price tick volatility" * "value under TIK heading" * "value under $/TIK heading"

But these derived values for "price range volatility" and "price range in $
volatility" may agree with the exact values in some cases to 
within only 5% because the "value under the heading TIK" is the minimum 
price increment and on average commodities may not trade in steps of the minimum 
price increment; and because the price tick volatility formula does not include 
prices in price gaps in 30 minute intervals as price ticks - whereas the "price 
range" and "price range in $" volatilities do include them.

However any strategy that would fail because of these differences would
be suspect.

For Example: for Coffee (CC):
=============================

From the Volatility tables - for the last 90 days:

Price tick  volatility average=16
Minimum price increment=10
Number of dollars per price tick=$3.75

Price range volatility average=99
Price range in dollars volatility average=370

price tick volatility * minimum price increment 
= 16 * 10
= 160 does not equal price range volatility of 99

price tick volatility * minimum price increment * dollar per price tick
= 16 * 10 * $3.75
= $600 does not equal price range volatility in dollars of $370

price range volatility * dollar per price tick
= 99 * $3.75 
= $370
= price range volatility in dollars

Click for "price tick" volatility table
Click for "price range" volatility table
Click for "price raneg in $" volatility table