Volatility Min, Average, Max and 68% Dev for last 5,10,15,20,40,60,90 days
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4-OCT-2005
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
$ value of volatility = volatility * $/TIK * TIK
$/TIK TIK ------ 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 *
---------------------*----------------*----------------*----------------*----------------*----------------*----------------*
BO 6.00 1.0 7.6 15.5 26.3 4.2 * 15.3 20.9 26.3 * 13.4 18.2 26.3 * 7.6 16.4 26.3 * 7.6 15.1 26.3 * 7.6 14.7 26.3 * 7.6 15.3 26.3 *
BP 6.25 2.0 1.9 8.5 41.3 3.9 * 4.6 6.8 9.0 * 2.6 6.4 10.2 * 2.6 6.4 10.2 * 2.1 6.2 10.2 * 2.1 7.0 16.6 * 2.1 8.4 41.3 *
C 6.25 2.0 3.5 7.4 16.9 2.0 * 3.5 5.1 6.5 * 3.5 5.0 6.5 * 3.5 4.9 6.5 * 3.5 5.0 6.5 * 3.5 5.6 10.3 * 3.5 7.0 16.9 *
CC 3.75 10.0 11.3 20.1 32.0 4.7 * 19.4 25.6 28.1 * 19.0 24.7 32.0 * 16.6 22.4 32.0 * 16.3 22.1 32.0 * 11.3 20.3 32.0 * 11.3 19.7 32.0 *
CD 10.00 1.0 3.2 10.1 20.1 2.5 * 9.6 10.9 15.0 * 9.4 10.7 15.0 * 9.4 10.6 15.0 * 6.2 10.0 15.0 * 5.8 10.0 15.0 * 5.8 10.4 20.1 *
CL 10.00 1.0 0.1 29.7 44.1 5.5 * 24.7 27.7 30.8 * 24.2 27.2 30.8 * 21.4 26.5 30.8 * 19.2 26.5 30.8 * 19.2 28.2 38.3 * 19.2 29.3 41.4 *
CO 9.99 1.0 2.5 9.7 16.8 2.1 * 9.1 10.2 11.4 * 7.8 9.9 11.4 * 7.8 9.8 11.8 * 7.8 10.0 12.6 * 6.3 9.9 16.8 * 6.3 9.7 16.8 *
D6* 1.00 5.0 * 0.1 0.1 0.1 * 0.1 0.1 0.1 * 0.1 0.1 0.1 * 0.1 0.1 0.1 * 0.1 0.1 0.1 * *
DJ* 1.00 5.0 * 17.9 22.1 25.4 * 17.9 22.7 29.8 * 17.9 21.8 29.8 * 5.8 19.3 29.8 * 0.4 10.7 29.8 * 0.1 7.4 29.8 *
EC* 1.25 1.0 0.1 4.6 20.5 2.5 * 11.2 15.5 20.5 * 11.2 15.0 20.5 * 11.2 14.9 20.5 * 3.5 13.2 20.5 * 0.2 8.0 20.5 * 0.2 6.0 20.5 *
ED 25.00 1.0 0.5 1.4 4.6 0.5 * 1.1 1.6 1.8 * 1.1 1.6 2.0 * 1.1 1.6 2.0 * 1.1 1.6 2.1 * 0.5 1.6 4.6 * 0.5 1.4 4.6 *
F2 15.63 1.0 0.6 2.5 6.2 0.8 * 2.2 2.6 2.9 * 1.9 2.6 3.4 * 1.7 2.4 3.4 * 1.3 2.4 3.4 * 0.7 2.5 6.2 * 0.7 2.5 6.2 *
FC 0.50 2.5 6.6 12.5 18.0 2.6 * 10.1 11.9 14.5 * 8.3 11.3 14.5 * 8.3 11.6 16.6 * 8.3 12.3 18.0 * 8.0 12.1 18.0 * 6.6 12.2 18.0 *
FF* 10.00 1.0 * 0.3 0.4 0.4 * 0.2 0.4 1.0 * 0.2 0.5 1.0 * 0.2 0.5 1.0 * * *
GC 10.00 1.0 4.1 10.7 21.8 2.7 * 12.2 16.0 18.8 * 12.2 16.2 21.8 * 9.8 15.0 21.8 * 8.9 14.0 21.8 * 7.3 12.5 21.8 * 6.3 11.3 21.8 *
GI 2.50 5.0 4.5 13.0 19.1 2.2 * 10.2 12.3 14.9 * 10.2 13.1 19.1 * 10.2 13.4 19.1 * 10.2 13.3 19.1 * 7.7 13.2 19.1 * 7.7 13.0 19.1 *
HO 4.20 1.0 0.1 21.3 39.9 5.0 * 19.5 25.2 32.1 * 15.3 22.7 32.1 * 15.3 21.3 32.1 * 15.3 22.6 32.1 * 12.7 21.7 32.1 * 11.5 21.3 39.9 *
J6* 10.00 1.0 * 0.2 0.6 1.1 * 0.2 0.6 1.4 * 0.2 0.8 1.4 * 0.2 0.8 1.6 * * *
JY 12.50 1.0 3.1 8.7 27.4 1.8 * 7.4 9.3 11.2 * 5.9 8.8 11.2 * 5.9 8.7 11.2 * 5.9 8.5 11.2 * 4.0 8.5 13.1 * 4.0 9.0 27.4 *
LB 13.00 1.0 0.7 12.3 23.2 3.9 * 11.2 15.2 18.1 * 0.8 12.9 21.8 * 0.8 14.1 23.2 * 0.8 14.1 23.2 * 0.7 12.2 23.2 * 0.7 12.2 23.2 *
LC 0.40 2.5 7.6 12.5 18.5 1.9 * 13.0 15.3 18.5 * 8.4 13.4 18.5 * 8.4 13.3 18.5 * 8.4 13.2 18.5 * 7.6 13.2 18.5 * 7.6 12.6 18.5 *
LH 0.40 2.5 9.1 15.4 28.1 2.4 * 12.0 14.6 19.6 * 12.0 14.7 19.6 * 12.0 14.7 19.6 * 11.1 14.4 19.6 * 10.8 14.7 19.6 * 10.5 14.9 19.6 *
MB 31.25 1.0 0.1 1.4 2.8 0.5 * 1.0 1.6 2.7 * 0.9 1.4 2.7 * 0.9 1.5 2.7 * 0.7 1.4 2.7 * 0.1 1.3 2.7 * 0.1 1.4 2.8 *
MD* 10.00 5.0 * 1.7 3.4 6.8 * 1.7 3.1 6.8 * 1.7 3.2 6.8 * 0.3 2.7 6.8 * 0.1 1.4 6.8 * *
ND* 1.00 50.0 0.1 2.2 14.0 1.4 * 9.4 10.6 13.4 * 9.4 11.1 14.0 * 8.6 10.4 14.0 * 2.0 9.3 14.0 * 0.1 4.8 14.0 * 0.1 3.2 14.0 *
NK 5.00 2.0 0.5 1.8 4.5 0.7 * 1.7 2.6 3.7 * 1.6 2.6 3.7 * 1.3 2.4 3.7 * 0.5 2.3 3.7 * 0.5 2.4 4.5 * 0.5 2.0 4.5 *
NO* 10.00 1.0 1.2 7.7 46.9 3.4 * 21.9 29.5 46.9 * 13.7 22.8 46.9 * 8.1 19.2 46.9 * 8.1 17.0 46.9 * 5.3 12.8 46.9 * 1.2 9.7 46.9 *
NQ* 0.01 50.0 * 10.5 11.6 14.3 * 10.1 12.0 15.0 * 9.0 11.3 15.0 * 6.8 10.5 15.0 * 0.5 6.9 15.0 * 0.5 5.2 15.0 *
NY 5.00 1.0 4.3 21.0 37.0 5.7 * 21.6 28.3 37.0 * 16.6 25.4 37.0 * 14.9 24.1 37.0 * 14.9 24.1 37.0 * 9.6 22.7 37.0 * 4.3 22.2 37.0 *
O 6.25 2.0 1.0 4.5 9.4 1.5 * 3.4 4.3 5.4 * 2.4 3.9 5.5 * 2.4 4.2 5.9 * 2.4 4.4 7.5 * 1.0 4.4 7.9 * 1.0 4.5 7.9 *
OJ 1.50 5.0 0.1 10.4 20.6 3.6 * 9.3 11.1 15.3 * 8.7 10.8 15.3 * 3.9 10.2 15.3 * 3.9 10.0 15.3 * 3.9 10.1 16.3 * 3.9 10.7 20.6 *
OX 12.50 1.0 1.1 3.7 16.9 1.6 * 3.1 4.1 5.7 * 2.6 4.1 5.7 * 1.1 3.7 5.7 * 1.1 3.4 5.7 * 1.1 3.2 5.7 * 1.1 3.5 16.9 *
PA 1.00 5.0 0.2 4.0 9.5 1.6 * 3.2 4.7 6.1 * 2.8 5.3 8.2 * 1.5 5.3 9.5 * 1.5 4.8 9.5 * 1.2 4.1 9.5 * 1.2 4.1 9.5 *
PB 0.40 2.5 0.4 10.4 20.8 4.1 * 7.3 10.3 14.5 * 0.4 8.8 14.5 * 0.4 8.7 14.5 * 0.4 8.9 14.5 * 0.4 8.8 16.1 * 0.4 9.6 19.1 *
PL 5.00 1.0 0.2 4.2 10.5 1.8 * 2.9 4.5 6.1 * 1.5 3.5 6.1 * 1.5 4.0 8.1 * 1.5 4.1 8.1 * 1.5 4.7 10.5 * 1.5 4.3 10.5 *
PT 4.20 1.0 0.1 0.2 0.5 0.0 * 0.2 0.2 0.2 * 0.2 0.3 0.5 * 0.1 0.2 0.5 * 0.1 0.2 0.5 * 0.1 0.2 0.5 * 0.1 0.2 0.5 *
QL 4.20 1.0 10.2 20.6 38.3 4.9 * 17.2 21.4 25.8 * 14.4 18.7 25.8 * 12.9 18.2 25.8 * 12.9 19.4 28.6 * 12.9 21.1 34.0 * 12.7 21.2 38.3 *
RJ* 5.00 1.0 * 5.1 8.2 9.8 * 5.1 8.1 11.5 * 2.8 7.5 14.3 * 1.6 6.5 14.3 * 0.7 4.1 14.3 * *
S 6.25 2.0 9.9 18.9 38.1 5.7 * 9.9 14.1 20.1 * 9.9 13.9 20.1 * 9.9 13.3 20.1 * 9.9 13.4 20.1 * 9.9 15.3 25.8 * 9.9 18.3 35.0 *
SF 12.50 1.0 0.8 6.7 21.1 2.0 * 3.9 5.9 9.8 * 3.4 5.5 9.8 * 3.4 5.8 9.8 * 3.1 5.7 9.8 * 2.9 6.2 11.9 * 2.9 6.9 21.1 *
SM 10.00 1.0 6.6 14.6 28.0 4.8 * 7.5 9.5 14.0 * 7.5 9.3 14.0 * 6.6 9.1 14.0 * 6.6 9.7 14.8 * 6.6 11.6 21.0 * 6.6 13.9 26.1 *
SP 2.50 10.0 1.4 25.5 38.8 4.7 * 23.2 28.0 36.2 * 23.2 28.9 36.2 * 21.8 27.2 36.2 * 15.9 25.5 36.2 * 15.9 27.1 38.8 * 15.9 26.4 38.8 *
SU 11.20 1.0 2.0 5.8 10.5 1.7 * 8.6 9.1 10.0 * 5.8 8.2 10.5 * 5.8 7.8 10.5 * 5.8 7.8 10.5 * 4.3 7.2 10.5 * 3.4 6.5 10.5 *
SV 5.00 1.0 3.1 7.0 10.5 1.5 * 6.5 8.5 10.4 * 6.3 8.2 10.4 * 4.2 8.0 10.5 * 4.2 7.5 10.5 * 4.2 7.0 10.5 * 4.2 6.8 10.5 *
T2 15.63 1.0 3.1 7.1 14.5 1.1 * 6.4 7.3 7.7 * 6.1 7.1 8.5 * 6.1 7.1 9.3 * 4.9 7.0 9.3 * 3.1 7.0 13.3 * 3.1 7.0 13.3 *
TX 5.00 1.0 0.4 10.2 18.6 2.3 * 9.3 10.4 12.0 * 8.6 10.3 12.4 * 8.6 10.2 12.4 * 7.6 9.8 12.4 * 7.5 9.9 13.6 * 7.5 10.4 18.6 *
U2 31.25 1.0 2.9 6.0 12.6 1.2 * 5.4 5.9 6.2 * 4.9 5.8 7.6 * 4.9 5.9 7.9 * 4.7 5.8 7.9 * 3.5 5.7 9.7 * 3.5 5.9 9.7 *
W 6.25 2.0 6.3 10.2 21.3 2.3 * 7.9 11.4 15.9 * 7.9 10.3 15.9 * 7.6 10.2 15.9 * 6.9 10.1 15.9 * 6.3 9.5 15.9 * 6.3 9.6 15.9 *
Y2* 7.81 1.0 * 0.7 2.4 3.5 * 0.7 2.3 3.5 * 0.7 2.3 3.5 * 0.7 2.2 3.5 * 0.1 1.7 5.4 * *
YG* 0.00 1.0 0.1 1.1 3.1 0.6 * 0.5 1.6 3.1 * 0.5 1.5 3.1 * 0.1 1.3 3.1 * 0.1 1.2 3.1 * 0.1 1.0 3.1 * 0.1 1.0 3.1 *
YM* 0.00 1.0 * 20.1 24.1 27.1 * 20.1 24.7 32.2 * 20.1 23.8 32.2 * 11.4 21.8 32.2 * 0.1 13.2 32.2 * *
Z6* 31.25 1.0 * 0.1 0.2 0.5 * 0.1 0.1 0.5 * 0.1 0.1 0.5 * 0.1 0.1 0.5 * * *
ZE* 0.01 1.0 0.1 5.3 22.4 * 10.9 15.8 22.4 * 10.9 15.0 22.4 * 10.9 14.9 22.4 * 0.7 12.9 22.4 * 0.1 7.1 22.4 * 0.1 5.3 22.4 *
ZJ* 0.01 1.0 * 0.1 0.5 0.8 * 0.1 0.7 1.9 * 0.1 0.8 2.5 * 0.1 0.9 2.5 * 0.1 0.7 2.6 * 0.1 0.8 5.5 *
Date of creation: 4-OCT-2005 12:41:31.82