Volatility Ticks 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
$ value of volatility = volatility ticks * $/tick
$/tick --------- 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* 6.00 * 4.1 14.1 28.3 * 4.1 21.0 39.0 * 4.1 28.3 47.4 * 4.1 32.2 50.9 * 4.1 35.1 78.3 * 4.1 34.0 78.3 *
BO 6.00 6.3 27.4 74.9 10.3 * 6.3 22.5 33.4 * 6.3 23.9 34.6 * 6.3 27.4 41.9 * 6.3 28.4 41.9 * 6.3 27.4 74.9 * 6.3 27.5 74.9 *
BP 6.25 12.1 28.7 67.1 8.3 * 50.7 57.8 67.1 * 35.6 52.1 67.1 * 30.2 49.3 67.1 * 30.2 48.9 67.1 * 19.9 38.9 67.1 * 12.1 33.1 67.1 *
C 6.25 0.0 42.9 84.8 12.7 * 12.0 31.4 40.8 * 12.0 36.4 60.8 * 12.0 36.9 60.8 * 12.0 40.9 65.3 * 12.0 40.2 75.5 * 12.0 41.8 76.5 *
C6* 6.25 23.5 51.6 96.8 12.8 * 32.3 41.7 49.0 * 32.3 46.0 65.3 * 32.3 45.9 65.3 * 32.3 49.9 75.3 * 23.5 48.6 88.3 * 23.5 50.6 88.3 *
CC 3.75 40.0 81.8 183.8 25.2 * 53.1 78.3 98.8 * 53.1 75.9 100.6 * 53.1 73.8 100.6 * 50.0 75.9 100.6 * 40.0 77.9 139.4 * 40.0 75.9 139.4 *
CD 10.00 10.5 17.3 36.3 4.5 * 25.0 30.6 36.3 * 18.7 26.7 36.3 * 18.5 25.6 36.3 * 17.5 24.2 36.3 * 10.9 20.5 36.3 * 10.9 18.4 36.3 *
CL 10.00 29.4 98.5 142.9 19.9 * 81.5 115.3 137.4 * 81.5 111.2 137.4 * 81.5 111.3 137.4 * 81.5 110.6 137.4 * 67.0 97.6 137.4 * 67.0 98.7 142.9 *
CO 9.99 7.0 15.7 39.6 4.1 * 12.7 16.2 20.3 * 11.3 15.3 20.3 * 11.3 15.9 20.3 * 10.9 15.8 20.3 * 8.6 16.0 24.7 * 8.2 16.2 39.6 *
D6* 1.00 * 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* 1.00 * 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* 1.25 0.7 172.0 608.7 91.2 * 376.0 479.2 608.7 * 302.0 445.9 608.7 * 302.0 425.9 608.7 * 302.0 423.6 608.7 * 95.3 309.5 608.7 * 6.7 236.3 608.7 *
ED 25.00 0.0 0.1 0.5 0.0 * 0.1 0.2 0.2 * 0.0 0.1 0.2 * 0.0 0.1 0.3 * 0.0 0.2 0.5 * 0.0 0.1 0.5 * 0.0 0.1 0.5 *
F2 15.63 0.0 5.9 48.9 3.7 * 0.0 15.5 33.9 * 0.0 10.2 33.9 * 0.0 10.0 47.2 * 0.0 7.6 47.2 * 0.0 5.7 48.9 * 0.0 5.9 48.9 *
F6* 15.63 * 9.9 13.6 16.2 * 5.6 11.3 16.2 * 5.6 11.6 18.8 * 1.9 11.7 23.3 * 0.0 8.0 23.3 * *
FC 0.50 10.0 31.7 91.0 10.1 * 35.5 50.7 91.0 * 28.0 41.7 91.0 * 10.0 34.7 91.0 * 10.0 36.6 91.0 * 10.0 31.0 91.0 * 10.0 30.0 91.0 *
FF* 10.00 * 0.0 0.0 0.0 * 0.0 0.0 0.0 * 0.0 0.5 7.1 * * * *
GC 10.00 9.2 50.7 119.3 16.5 * 48.5 74.7 95.8 * 48.5 76.2 95.8 * 48.5 76.3 102.3 * 45.1 76.2 119.3 * 22.7 62.4 119.3 * 22.7 56.6 119.3 *
GI 2.50 0.4 1.8 3.5 0.5 * 1.3 2.3 3.5 * 1.3 2.3 3.5 * 1.3 2.1 3.5 * 1.3 2.1 3.5 * 0.9 1.9 3.5 * 0.9 1.8 3.5 *
HO 4.20 145.7 263.1 439.7 51.4 * 183.6 280.3 337.9 * 183.6 274.2 337.9 * 183.6 277.0 337.9 * 176.7 272.4 337.9 * 174.8 256.7 337.9 * 174.8 255.3 337.9 *
J6* 10.00 * 0.5 1.7 4.1 * 0.5 1.8 4.1 * 0.5 1.7 4.1 * 0.5 1.8 4.4 * * *
JY 12.50 8.5 19.1 56.1 7.1 * 32.0 44.2 56.1 * 20.3 34.9 56.1 * 20.1 31.4 56.1 * 20.1 32.3 56.1 * 8.8 24.7 56.1 * 8.8 20.7 56.1 *
LB 13.00 2.1 9.7 26.4 3.7 * 8.9 14.3 19.2 * 6.7 15.1 26.4 * 6.7 13.7 26.4 * 6.4 12.5 26.4 * 4.2 10.8 26.4 * 2.1 10.4 26.4 *
LC 0.40 15.1 31.2 75.0 7.5 * 29.0 42.2 75.0 * 25.5 39.0 75.0 * 20.5 34.3 75.0 * 20.5 36.5 75.0 * 15.1 31.7 75.0 * 15.1 30.9 75.0 *
LH 0.40 15.6 35.1 58.9 8.7 * 24.4 36.0 41.9 * 24.4 38.3 54.4 * 15.6 35.7 54.4 * 15.6 38.4 58.9 * 15.6 34.6 58.9 * 15.6 36.4 58.9 *
M6* 10.00 5.4 23.9 58.4 10.6 * 14.4 19.2 26.4 * 14.4 23.1 31.3 * 14.4 25.1 38.3 * 14.4 28.6 43.1 * 14.4 30.3 53.0 * 12.8 28.4 58.4 *
MB 31.25 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* 10.00 * 139.3 243.4 364.3 * 57.1 189.6 364.3 * 57.1 165.5 364.3 * 57.1 148.7 364.3 * 0.0 75.8 364.3 * 0.0 54.6 364.3 *
ND* 1.00 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 5.00 1.3 11.1 54.7 5.3 * 12.3 31.3 54.7 * 4.7 22.4 54.7 * 2.7 20.4 54.7 * 2.7 19.5 54.7 * 2.0 13.6 54.7 * 2.0 11.6 54.7 *
NO* 10.00 7.3 69.8 177.3 25.5 * 72.1 83.2 106.0 * 72.1 85.3 106.0 * 68.2 85.8 118.4 * 68.2 94.0 141.2 * 42.1 83.8 150.7 * 42.1 82.4 177.3 *
NQ* 0.50 0.0 678.7 3616.1 361.6 * 2162.5 2633.2 3616.1 * 1278.6 2155.5 3616.1 * 1264.3 1959.4 3616.1 * 1264.3 1862.1 3616.1 * 148.2 1213.2 3616.1 * 69.6 901.8 3616.1 *
NY 5.00 5.2 42.1 104.7 14.9 * 24.7 41.6 59.4 * 24.7 39.1 59.4 * 24.7 40.2 59.4 * 24.7 42.9 72.3 * 15.9 40.5 72.3 * 15.9 40.6 81.8 *
O 6.25 0.0 3.3 16.0 2.0 * 0.0 0.3 1.0 * 0.0 1.5 5.5 * 0.0 1.3 5.5 * 0.0 1.9 11.0 * 0.0 3.1 13.8 * 0.0 2.7 13.8 *
O6* 6.25 7.3 22.1 50.0 8.6 * 10.3 15.4 27.5 * 10.3 16.6 27.5 * 10.3 17.0 27.5 * 10.3 18.7 39.3 * 10.3 22.5 43.0 * 10.3 22.9 50.0 *
OJ 1.50 0.0 62.9 158.9 27.8 * 43.9 63.7 92.8 * 42.2 66.8 100.6 * 6.1 56.6 100.6 * 6.1 56.0 100.6 * 6.1 59.0 141.1 * 6.1 60.4 141.1 *
OX 12.50 7.1 21.1 92.5 8.5 * 40.7 62.1 92.5 * 25.9 46.4 92.5 * 25.9 42.1 92.5 * 23.6 39.2 92.5 * 14.3 30.2 92.5 * 7.7 25.0 92.5 *
PA 1.00 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 0.40 6.2 32.9 67.8 12.3 * 22.0 30.3 44.0 * 21.2 31.4 44.0 * 19.5 34.8 65.5 * 19.5 37.0 65.5 * 14.0 37.2 65.5 * 6.2 35.4 67.8 *
PL 5.00 11.1 73.7 180.3 25.4 * 47.3 62.4 76.4 * 47.3 75.4 106.1 * 34.3 74.7 159.3 * 34.3 81.9 159.3 * 34.3 78.7 159.3 * 27.0 78.6 180.3 *
QG* 2.50 0.0 403.1 1712.5 342.5 * 0.0 718.3 1083.3 * 0.0 942.5 1475.0 * 0.0 918.6 1475.0 * 0.0 892.1 1475.0 * 0.0 784.6 1712.5 * 0.0 599.3 1712.5 *
QH* 2.10 * 0.0 0.0 0.0 * 0.0 7.3 73.0 * 0.0 4.9 73.0 * 0.0 3.7 73.0 * 0.0 1.8 73.0 * *
QL 4.20 68.8 231.5 404.0 50.3 * 182.8 260.7 300.3 * 173.2 246.1 317.4 * 173.2 244.4 317.4 * 173.2 245.2 317.4 * 160.0 233.3 317.4 * 160.0 231.4 352.3 *
QM* 5.00 0.0 431.3 1269.6 349.2 * 976.8 1137.5 1269.6 * 712.5 979.5 1269.6 * 669.6 908.9 1269.6 * 669.6 897.8 1269.6 * 410.7 793.0 1269.6 * 51.8 629.6 1269.6 *
QU 2.10 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* 5.00 * 77.9 139.2 208.9 * 77.9 155.8 315.0 * 77.9 151.2 315.0 * 44.6 139.5 315.0 * 18.6 112.3 315.0 * *
S 6.25 33.5 84.7 169.0 23.7 * 53.3 63.3 77.5 * 50.5 67.3 87.0 * 50.5 69.9 87.0 * 50.5 77.1 107.5 * 50.5 82.1 169.0 * 50.5 84.0 169.0 *
S6* 6.25 69.0 104.1 199.3 22.8 * 74.3 84.8 95.3 * 72.0 87.9 117.8 * 72.0 89.8 117.8 * 69.0 96.7 138.3 * 69.0 102.8 199.3 * 69.0 105.6 199.3 *
SF 12.50 10.5 19.4 38.4 4.9 * 19.8 26.6 35.9 * 19.8 27.1 38.4 * 19.8 26.9 38.4 * 15.9 26.4 38.4 * 10.5 21.6 38.4 * 10.5 20.0 38.4 *
SM 10.00 6.6 23.1 57.6 7.6 * 17.4 21.0 24.6 * 17.4 22.9 36.5 * 13.1 20.9 36.5 * 13.1 21.5 36.5 * 9.4 21.9 41.0 * 9.4 22.7 57.6 *
SP 2.50 305.7 641.5 2095.0 178.9 * 1217.9 1574.3 2095.0 * 730.7 1267.1 2095.0 * 730.7 1126.5 2095.0 * 667.1 1133.2 2095.0 * 305.7 807.8 2095.0 * 305.7 688.8 2095.0 *
SU 11.20 4.9 12.5 25.1 3.5 * 9.8 13.3 16.8 * 8.8 12.6 16.8 * 7.6 12.4 16.8 * 7.6 12.5 17.0 * 4.9 11.9 19.5 * 4.9 13.0 25.1 *
SV 5.00 0.1 1.3 2.8 0.4 * 1.4 1.8 2.2 * 1.4 1.7 2.2 * 1.3 1.7 2.5 * 1.1 1.7 2.5 * 0.4 1.5 2.5 * 0.4 1.4 2.5 *
T2 15.63 0.0 2.4 8.3 1.2 * 0.8 3.4 8.3 * 0.6 3.2 8.3 * 0.6 2.8 8.3 * 0.6 3.0 8.3 * 0.0 2.7 8.3 * 0.0 2.4 8.3 *
T6* 15.63 * 17.7 22.3 30.9 * 11.7 19.9 30.9 * 11.7 18.6 30.9 * 11.7 19.3 30.9 * 2.7 14.2 30.9 * 0.3 9.8 30.9 *
TX 5.00 3.6 10.6 23.9 3.6 * 13.7 18.3 23.9 * 12.2 17.6 23.9 * 12.2 17.6 23.9 * 12.2 17.9 23.9 * 5.9 14.3 23.9 * 3.7 12.1 23.9 *
U2 31.25 0.1 1.9 5.8 1.1 * 2.7 4.1 5.8 * 2.2 4.0 5.8 * 0.9 3.3 5.8 * 0.6 2.9 5.8 * 0.3 2.2 5.8 * 0.1 1.9 5.8 *
U6* 31.25 0.0 4.8 21.9 3.3 * 12.4 16.2 21.9 * 8.3 14.0 21.9 * 8.3 13.0 21.9 * 8.3 13.3 21.9 * 2.5 9.7 21.9 * 0.0 6.9 21.9 *
UU* 0.50 * 1425.0 1796.8 2357.1 * 835.7 1465.2 2357.1 * 835.7 1302.4 2357.1 * 766.1 1300.4 2357.1 * 164.3 877.2 2357.1 * 164.3 687.2 2357.1 *
W 6.25 9.5 40.5 99.3 15.7 * 27.5 37.3 52.5 * 23.0 35.0 52.5 * 23.0 37.2 52.5 * 23.0 42.0 71.3 * 19.0 45.7 99.3 * 9.5 42.0 99.3 *
W6* 6.25 36.0 73.4 142.8 21.4 * 46.5 59.5 72.8 * 46.5 60.4 73.0 * 46.5 63.1 78.5 * 46.5 68.4 92.0 * 45.8 74.1 142.8 * 36.0 73.4 142.8 *
Y2* 7.81 * 0.0 0.0 0.1 * 0.0 0.1 0.5 * 0.0 0.2 0.8 * 0.0 0.2 0.8 * 0.0 0.3 8.1 * *
Y6* 7.81 * 9.9 15.8 27.4 * 3.7 12.3 27.4 * 3.7 12.0 27.4 * 3.7 12.8 27.4 * 0.4 8.7 27.4 * *
YG* 3.30 0.0 17.5 154.6 11.6 * 0.0 1.8 5.6 * 0.0 6.4 17.6 * 0.0 16.8 62.4 * 0.0 27.1 154.6 * 0.0 27.8 154.6 * 0.0 25.0 154.6 *
YI* 1.00 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* 0.50 * 108.1 142.1 196.3 * 71.6 116.2 196.3 * 71.5 104.4 196.3 * 67.6 103.1 196.3 * 17.6 70.1 196.3 * 10.5 54.4 196.3 *
ZE* 5.00 * 335.3 423.7 538.0 * 252.7 393.6 538.0 * 252.7 381.8 538.0 * 252.7 377.7 538.0 * 0.0 216.8 538.0 * 0.0 148.5 538.0 *
ZJ* 5.00 * 1.9 10.8 29.2 * 1.9 9.7 29.2 * 1.9 9.0 29.2 * 1.9 9.0 29.2 * 1.9 7.4 29.2 * 1.9 6.8 29.2 *
Date of creation: 10-OCT-2008 14:13:27.28