Dollar Volatility Min, Average, Max and 68% Dev for last 5,10,15,20,40,60,90 days
------------------------------------------------
10-OCT-2008
There are two ways to use volatility:
a) Avoid entering a trade if the current volatility is greater than 90 day average plus 90 day 68% Dev
b) Increase stop if current volatility is greater than stop
c) Use an overlay with more days if average volatility is greater then octant
--------- 90 days ---------*------- 5 days -------*------- 10 days ------*------ 15 days -------*------ 20 days -------*------- 40 days ------*------ 60 days -------*
Min Avg Max Dev * Min Avg Max * Min Avg Max * Min Avg Max * Min Avg Max * Min Avg Max * Min Avg Max *
---------------------------*----------------------*----------------------*----------------------*----------------------*----------------------*----------------------*
B6* * 24.8 84.8 169.5 * 24.8 126.2 234.0 * 24.8 169.5 284.3 * 24.8 193.2 305.3 * 24.8 210.7 469.5 * 24.8 203.9 469.5 *
BO 37.5 164.5 449.3 61.8 * 37.5 135.3 200.3 * 37.5 143.6 207.8 * 37.5 164.6 251.3 * 37.5 170.3 251.3 * 37.5 164.2 449.3 * 37.5 164.7 449.3 *
BP 75.8 179.6 419.6 51.6 * 317.1 361.0 419.6 * 222.5 325.7 419.6 * 188.8 308.2 419.6 * 188.8 305.4 419.6 * 124.2 243.4 419.6 * 75.8 206.9 419.6 *
C 0.0 267.9 529.7 79.5 * 75.0 195.9 254.7 * 75.0 227.5 379.7 * 75.0 230.4 379.7 * 75.0 255.9 407.8 * 75.0 251.5 471.9 * 75.0 261.1 478.1 *
C6* 146.9 322.8 604.7 80.1 * 201.6 260.3 306.3 * 201.6 287.5 407.8 * 201.6 286.9 407.8 * 201.6 312.0 470.3 * 146.9 303.8 551.6 * 146.9 316.0 551.6 *
CC 150.0 306.8 689.1 94.3 * 199.2 293.4 370.3 * 199.2 284.8 377.3 * 199.2 276.6 377.3 * 187.5 284.8 377.3 * 150.0 292.1 522.7 * 150.0 284.7 522.7 *
CD 104.7 172.6 362.7 45.1 * 250.0 305.6 362.7 * 187.3 267.1 362.7 * 184.7 256.5 362.7 * 175.3 241.6 362.7 * 109.3 204.8 362.7 * 109.3 183.9 362.7 *
CL 293.6 984.5 1429.3 198.8 * 815.0 1152.9 1374.3 * 815.0 1112.3 1374.3 * 815.0 1113.0 1374.3 * 815.0 1106.1 1374.3 * 670.0 975.9 1374.3 * 670.0 987.1 1429.3 *
CO 69.9 156.5 395.6 40.7 * 126.9 161.6 202.8 * 112.9 152.7 202.8 * 112.9 158.4 202.8 * 108.9 158.0 202.8 * 85.9 159.5 246.8 * 81.9 161.8 395.6 *
D6* * 34.7 128.0 271.8 * 8.2 75.6 271.8 * 8.2 64.6 271.8 * 8.2 57.9 271.8 * * *
DJ* * 803.5 1054.6 1385.3 * 499.4 847.9 1385.3 * 499.4 771.3 1385.3 * 486.5 767.7 1385.3 * 70.6 460.4 1385.3 * 70.6 332.9 1385.3 *
EC* 0.8 215.0 760.8 114.0 * 470.0 599.0 760.8 * 377.5 557.4 760.8 * 377.5 532.3 760.8 * 377.5 529.5 760.8 * 119.2 386.8 760.8 * 8.3 295.4 760.8 *
ED 0.0 1.7 11.7 0.9 * 1.7 4.0 5.0 * 0.0 2.8 5.0 * 0.0 3.6 8.3 * 0.0 4.2 11.7 * 0.0 2.5 11.7 * 0.0 1.9 11.7 *
F2 0.0 91.6 764.6 57.3 * 0.0 242.5 529.2 * 0.0 159.4 529.2 * 0.0 156.1 737.5 * 0.0 118.6 737.5 * 0.0 88.6 764.6 * 0.0 92.6 764.6 *
F6* * 155.2 213.1 253.1 * 87.5 177.0 253.1 * 87.5 181.8 293.8 * 29.2 183.0 363.5 * 0.0 124.7 363.5 * *
FC 5.0 15.8 45.5 5.1 * 17.8 25.4 45.5 * 14.0 20.9 45.5 * 5.0 17.4 45.5 * 5.0 18.3 45.5 * 5.0 15.5 45.5 * 5.0 15.0 45.5 *
FF* * 0.0 0.0 0.0 * 0.0 0.0 0.0 * 0.0 4.8 71.4 * * * *
GC 91.7 506.7 1192.5 165.1 * 485.0 747.0 957.5 * 485.0 762.1 957.5 * 485.0 763.4 1022.5 * 450.8 762.3 1192.5 * 226.7 623.8 1192.5 * 226.7 566.0 1192.5 *
GI 0.9 4.5 8.6 1.2 * 3.2 5.9 8.6 * 3.2 5.7 8.6 * 3.2 5.2 8.6 * 3.2 5.1 8.6 * 2.3 4.7 8.6 * 2.3 4.6 8.6 *
HO 611.8 1105.0 1846.6 216.1 * 771.0 1177.2 1419.2 * 771.0 1151.5 1419.2 * 771.0 1163.4 1419.2 * 742.0 1144.3 1419.2 * 734.3 1078.3 1419.2 * 734.3 1072.3 1419.2 *
J6* * 5.0 16.7 40.7 * 5.0 18.3 40.7 * 5.0 16.6 40.7 * 5.0 18.0 44.3 * * *
JY 106.7 238.4 701.7 89.3 * 400.0 552.2 701.7 * 254.2 435.8 701.7 * 250.8 392.7 701.7 * 250.8 404.2 701.7 * 110.0 309.2 701.7 * 110.0 259.3 701.7 *
LB 27.4 126.0 343.8 47.4 * 115.6 186.0 249.9 * 86.7 196.2 343.8 * 86.7 178.0 343.8 * 83.8 162.9 343.8 * 54.9 140.3 343.8 * 27.4 135.2 343.8 *
LC 6.0 12.5 30.0 3.0 * 11.6 16.9 30.0 * 10.2 15.6 30.0 * 8.2 13.7 30.0 * 8.2 14.6 30.0 * 6.0 12.7 30.0 * 6.0 12.4 30.0 *
LH 6.2 14.0 23.6 3.5 * 9.8 14.4 16.8 * 9.8 15.3 21.8 * 6.2 14.3 21.8 * 6.2 15.3 23.6 * 6.2 13.8 23.6 * 6.2 14.6 23.6 *
M6* 53.8 239.2 583.8 106.0 * 143.8 191.8 263.8 * 143.8 231.4 312.5 * 143.8 250.8 382.5 * 143.8 285.9 431.3 * 143.8 302.5 530.0 * 127.5 284.1 583.8 *
MB 0.0 0.0 0.0 0.0 * 0.0 0.0 0.0 * 0.0 0.0 0.0 * 0.0 0.0 0.0 * 0.0 0.0 0.0 * 0.0 0.0 0.0 * 0.0 0.0 0.0 *
MD* * 1392.9 2434.3 3642.9 * 571.4 1895.7 3642.9 * 571.4 1654.5 3642.9 * 571.4 1486.6 3642.9 * 0.0 757.6 3642.9 * 0.0 546.4 3642.9 *
ND* 0.0 383.7 2500.0 250.0 * 1187.5 1876.1 2292.9 * 1053.6 1667.5 2500.0 * 1053.6 1581.9 2500.0 * 125.0 1428.5 2500.0 * 0.0 765.4 2500.0 * 0.0 534.6 2500.0 *
NK 6.7 55.5 273.3 26.7 * 61.7 156.3 273.3 * 23.3 111.8 273.3 * 13.3 102.1 273.3 * 13.3 97.5 273.3 * 10.0 67.9 273.3 * 10.0 57.8 273.3 *
NO* 73.3 697.6 1772.5 254.9 * 720.8 831.8 1060.0 * 720.8 853.4 1060.0 * 681.7 857.7 1184.2 * 681.7 940.2 1411.7 * 420.8 838.2 1506.7 * 420.8 823.8 1772.5 *
NQ* 0.0 339.3 1808.0 180.8 * 1081.3 1316.6 1808.0 * 639.3 1077.8 1808.0 * 632.1 979.7 1808.0 * 632.1 931.1 1808.0 * 74.1 606.6 1808.0 * 34.8 450.9 1808.0 *
NY 26.1 210.7 523.3 74.6 * 123.3 207.8 297.2 * 123.3 195.7 297.2 * 123.3 201.0 297.2 * 123.3 214.3 361.7 * 79.4 202.5 361.7 * 79.4 203.1 408.9 *
O 0.0 20.6 100.0 12.5 * 0.0 2.2 6.3 * 0.0 9.5 34.4 * 0.0 8.3 34.4 * 0.0 11.6 68.8 * 0.0 19.1 85.9 * 0.0 16.7 85.9 *
O6* 45.3 138.3 312.5 53.4 * 64.1 96.6 171.9 * 64.1 104.1 171.9 * 64.1 106.3 171.9 * 64.1 117.0 245.3 * 64.1 140.9 268.8 * 64.1 143.1 312.5 *
OJ 0.0 94.4 238.3 41.7 * 65.8 95.5 139.2 * 63.3 100.2 150.8 * 9.2 84.9 150.8 * 9.2 84.0 150.8 * 9.2 88.5 211.7 * 9.2 90.6 211.7 *
OX 88.3 263.4 1155.8 106.8 * 509.2 776.8 1155.8 * 323.3 580.2 1155.8 * 323.3 526.4 1155.8 * 295.0 489.7 1155.8 * 179.2 377.2 1155.8 * 96.7 312.2 1155.8 *
PA 16.7 202.9 464.6 78.4 * 119.2 178.4 271.3 * 119.2 208.9 296.7 * 119.2 215.7 296.7 * 119.2 220.3 296.7 * 64.6 203.3 340.0 * 64.6 213.6 464.6 *
PB 2.5 13.2 27.1 4.9 * 8.8 12.1 17.6 * 8.5 12.6 17.6 * 7.8 13.9 26.2 * 7.8 14.8 26.2 * 5.6 14.9 26.2 * 2.5 14.2 27.1 *
PL 55.5 368.5 901.5 126.9 * 236.5 311.8 382.0 * 236.5 377.0 530.5 * 171.5 373.5 796.5 * 171.5 409.3 796.5 * 171.5 393.3 796.5 * 135.0 393.2 901.5 *
QG* 0.0 1007.8 4281.3 856.3 * 0.0 1795.8 2708.3 * 0.0 2356.3 3687.5 * 0.0 2296.5 3687.5 * 0.0 2230.2 3687.5 * 0.0 1961.5 4281.3 * 0.0 1498.3 4281.3 *
QH* * 0.0 0.0 0.0 * 0.0 15.3 153.3 * 0.0 10.2 153.3 * 0.0 7.7 153.3 * 0.0 3.8 153.3 * *
QL 289.0 972.2 1696.8 211.2 * 767.8 1094.9 1261.3 * 727.4 1033.6 1333.1 * 727.4 1026.6 1333.1 * 727.4 1029.8 1333.1 * 672.0 979.8 1333.1 * 672.0 971.7 1479.7 *
QM* 0.0 2156.4 6348.2 1745.8 * 4883.9 5687.5 6348.2 * 3562.5 4897.3 6348.2 * 3348.2 4544.6 6348.2 * 3348.2 4488.8 6348.2 * 2053.6 3965.0 6348.2 * 258.9 3147.8 6348.2 *
QU 0.0 0.0 0.0 0.0 * 0.0 0.0 0.0 * 0.0 0.0 0.0 * 0.0 0.0 0.0 * 0.0 0.0 0.0 * 0.0 0.0 0.0 * 0.0 0.0 0.0 *
RJ* * 389.3 696.1 1044.6 * 389.3 778.9 1575.0 * 389.3 755.8 1575.0 * 223.2 697.7 1575.0 * 92.9 561.6 1575.0 * *
S 209.4 529.1 1056.3 148.2 * 332.8 395.9 484.4 * 315.6 420.8 543.8 * 315.6 436.8 543.8 * 315.6 481.8 671.9 * 315.6 513.4 1056.3 * 315.6 524.7 1056.3 *
S6* 431.3 650.6 1245.3 142.5 * 464.1 530.3 595.3 * 450.0 549.4 735.9 * 450.0 561.5 735.9 * 431.3 604.3 864.1 * 431.3 642.5 1245.3 * 431.3 660.1 1245.3 *
SF 131.7 242.5 480.0 61.0 * 247.5 332.2 448.3 * 247.5 338.8 480.0 * 247.5 336.8 480.0 * 199.2 330.2 480.0 * 131.7 270.1 480.0 * 131.7 250.5 480.0 *
SM 66.3 231.1 576.3 76.5 * 173.8 210.3 246.3 * 173.8 229.1 365.0 * 131.3 208.9 365.0 * 131.3 215.2 365.0 * 93.8 218.7 410.0 * 93.8 227.0 576.3 *
SP 764.3 1603.7 5237.5 447.3 * 3044.6 3935.7 5237.5 * 1826.8 3167.9 5237.5 * 1826.8 2816.2 5237.5 * 1667.9 2832.9 5237.5 * 764.3 2019.5 5237.5 * 764.3 1722.1 5237.5 *
SU 54.6 139.9 281.4 39.7 * 109.2 148.7 187.6 * 98.0 141.0 187.6 * 85.4 139.0 187.6 * 85.4 140.2 190.4 * 54.6 133.2 218.4 * 54.6 145.2 281.4 *
SV 0.4 6.5 14.2 2.1 * 6.9 8.8 11.2 * 6.9 8.7 11.2 * 6.5 8.7 12.3 * 5.4 8.7 12.3 * 1.9 7.4 12.3 * 1.9 7.1 12.3 *
T2 0.0 37.2 129.2 19.4 * 12.5 52.9 129.2 * 9.4 49.4 129.2 * 9.4 43.5 129.2 * 9.4 47.3 129.2 * 0.0 42.4 129.2 * 0.0 37.6 129.2 *
T6* * 276.0 348.5 483.3 * 183.3 310.4 483.3 * 183.3 290.6 483.3 * 183.3 301.1 483.3 * 41.7 221.7 483.3 * 4.2 153.8 483.3 *
TX 17.9 52.9 119.6 17.8 * 68.6 91.4 119.6 * 61.1 88.0 119.6 * 61.1 88.0 119.6 * 61.1 89.5 119.6 * 29.6 71.4 119.6 * 18.6 60.7 119.6 *
U2 4.2 60.4 181.3 35.4 * 83.3 129.2 181.3 * 68.8 125.0 181.3 * 29.2 103.5 181.3 * 18.8 91.4 181.3 * 10.4 69.1 181.3 * 4.2 60.3 181.3 *
U6* 0.0 151.0 685.4 102.8 * 387.5 506.3 685.4 * 258.3 438.3 685.4 * 258.3 406.1 685.4 * 258.3 414.2 685.4 * 79.2 304.0 685.4 * 0.0 217.0 685.4 *
UU* * 712.5 898.4 1178.6 * 417.9 732.6 1178.6 * 417.9 651.2 1178.6 * 383.0 650.2 1178.6 * 82.1 438.6 1178.6 * 82.1 343.6 1178.6 *
W 59.4 253.0 620.3 98.2 * 171.9 233.4 328.1 * 143.8 218.9 328.1 * 143.8 232.2 328.1 * 143.8 262.8 445.3 * 118.8 285.6 620.3 * 59.4 262.7 620.3 *
W6* 225.0 458.5 892.2 133.4 * 290.6 371.6 454.7 * 290.6 377.7 456.3 * 290.6 394.5 490.6 * 290.6 427.3 575.0 * 285.9 463.3 892.2 * 225.0 459.0 892.2 *
Y2* * 0.0 0.1 0.5 * 0.0 0.8 4.2 * 0.0 1.3 6.3 * 0.0 1.4 6.3 * 0.0 2.3 63.5 * *
Y6* * 77.6 123.2 214.1 * 29.2 96.2 214.1 * 29.2 94.1 214.1 * 29.2 100.3 214.1 * 3.1 68.0 214.1 * *
YG* 0.0 57.7 510.3 38.3 * 0.0 5.8 18.4 * 0.0 21.2 58.0 * 0.0 55.6 206.0 * 0.0 89.6 510.3 * 0.0 91.6 510.3 * 0.0 82.6 510.3 *
YI* 0.0 0.6 3.5 0.4 * 0.5 0.7 1.5 * 0.5 0.9 1.5 * 0.5 0.9 1.5 * 0.5 1.1 3.5 * 0.1 0.9 3.5 * 0.0 0.7 3.5 *
YM* * 54.1 71.1 98.1 * 35.8 58.1 98.1 * 35.8 52.2 98.1 * 33.8 51.6 98.1 * 8.8 35.1 98.1 * 5.3 27.2 98.1 *
ZE* * 1676.7 2118.7 2690.0 * 1263.3 1968.0 2690.0 * 1263.3 1908.9 2690.0 * 1263.3 1888.3 2690.0 * 0.0 1083.8 2690.0 * 0.0 742.6 2690.0 *
ZJ* * 9.3 54.2 146.0 * 9.3 48.7 146.0 * 9.3 44.8 146.0 * 9.3 45.0 146.0 * 9.3 37.2 146.0 * 9.3 34.0 146.0 *
Date of creation: 10-OCT-2008 14:13:31.71