This page has been archived and commenting is disabled.

"Real" Stock Volatility In October Highest Since Lehman

Tyler Durden's picture




 

While VIX pumped-and-dumped (in a manner never seen before in its history), 'real' volatility of the day to day moves across the major stock indices remains extremely elevated. For the Nasdaq and Dow Transports, the average true range over the last few weeks is the highest since the post-Lehman collapse...

 

 

 

The Dow, S&P, and Russell 2000 are back at the highest average true range since the US downgrade in Summaer 2011..

Charts: Bloomberg

*  *  *

Reminder: The Average True Range is a measure of volatility introduced by Welles Wilder in his book: New Concepts in Technical Trading Systems.

The true range indicator is the greatest of the following:

-current high less the current low.

-the absolute value of the current high less the previous close.

-the absolute value of the current low less the previous close.

Simply put, a stock experiencing a high level of volatility will have a higher ATR, and a low volatility stock will have a lower ATR.

 

- advertisements -

Comment viewing options

Select your preferred way to display the comments and click "Save settings" to activate your changes.
Thu, 10/23/2014 - 14:44 | 5368362 madbraz
madbraz's picture

"Don't panic, I've got your back" - B. Dudley

Thu, 10/23/2014 - 14:55 | 5368414 knukles
knukles's picture

They gots all our backs.
No wonder the vol, eh?
Just wait till more of this breaks, regardless of true or not.
Anybody but me notice the almost complete silence on the topic last few days.
Sorta like been told to STFU, Don't Panic?

http://www.infowars.com/medical-professional-health-authorities-covering...

Thu, 10/23/2014 - 14:58 | 5368432 dow jones 20000
dow jones 20000's picture

anyone else notice the mini flash-crash at 2:52 today?

Thu, 10/23/2014 - 15:42 | 5368682 SAT 800
SAT 800's picture

Yeah, I did. it's the heavy hitters unloading their portfolios. they sell the rallies to get good prices.

Thu, 10/23/2014 - 15:21 | 5368564 Bloppy
Bloppy's picture

Should we pay any attention to the VIX at this point? Or is just too fake?

 

Left-wing website: WE'RE the problem, not Islam!

Thu, 10/23/2014 - 15:45 | 5368687 SAT 800
SAT 800's picture

There's no reason to even know what VIX is. just look at the price charts and be a student of markets.

Thu, 10/23/2014 - 15:42 | 5368674 SAT 800
SAT 800's picture

Sold short 2XESZ4 @1945 today. $100/pt. short the S&P500. new position.

Thu, 10/23/2014 - 16:18 | 5368847 Wait What
Wait What's picture

w/ an SAT of 800 i'd really expect more than this from you.

the whole reason for dark pools was so that outsiders couldn't see who was on the other side of the trade.

...and here you go doing the opposite, putting yourself out there ...begging to get Gartman-ized.

the cherry on top is, of course, that apparently you haven't learned from what's happened to shorts over the past 6 years.

good luck anyway.

Thu, 10/23/2014 - 14:45 | 5368370 Bell's 2 hearted
Bell's 2 hearted's picture

free-range stock taste better?

Thu, 10/23/2014 - 14:47 | 5368382 SAT 800
SAT 800's picture

Not exactly a news anouncement. The definition of volatility is it goes up and down a lot; I believe we have all noticed that the stawk market has been jumping up and down like a jumping bean.

Thu, 10/23/2014 - 14:48 | 5368385 _ConanTheLibert...
_ConanTheLibertarian_'s picture

Could be the last tremblings before the stock market collapses. Did anyone notice the Casey Research alert that a market crash is imminent?

Let's see then.

 

Thu, 10/23/2014 - 14:50 | 5368386 AdvancingTime
AdvancingTime's picture

This market is a fucking joke! It has nothing to do with the economy.

Thu, 10/23/2014 - 14:57 | 5368420 Bell's 2 hearted
Bell's 2 hearted's picture

it will make the next downturn worse

 

high stock market allows congress to do nothing

 

in the "old" days a weak stock market would force congress to Do Something (good for only a minor kick of can ... but remember spring of 2008 tax refunds to everyone? ... $150 billion mailed out) ... now we'll go over the cliff without a net

Thu, 10/23/2014 - 15:03 | 5368451 pragmatic hobo
pragmatic hobo's picture

did you just find that out?

Thu, 10/23/2014 - 15:31 | 5368614 JuliaS
JuliaS's picture

We have a numerical representation of the economy (the market) that completely misrepresents it. When we're talking of the market crash, we're expecting the representation to fall in line with reality, even though it is obvious and clear that with every passing day the disconnect is growing larger.

We've had abysmal news from mega-corporation, papered over by share buybacks, liquidity injections, lies and false optimism about things happening long term. Yet nothing triggered a meaningful correction in numerical representation of the economy.

So, is there any point waiting even?

When the economy crashes completely, it'll be the real economy that will go down, quite possibly without the market ever reflecting it. Kind of like a socialist/communist deficit catching everyone off guard by the price fixing. You have artifficially low pricetags that do not reflect changes in supply and demand all up to the point where supply completely vanishes. All of the sudden, the store shelves are empty, decorated by the very same "affordable" price tags. No change in the numerical market. All the change in the actual economy.

For something like that to occur though, people have to have money in excess of product. What we have is quite the opposite - excess of debt against an abundance of assets... someone else's assets to which we have no legal claim.

A collapse under such system means more of what we already have. It's not the DJIA or S&P falling, but simply people being laid off, getting evicted, going to jail, while the market continues waltzing on like nobody's business.

When the Fed playing chess wtih itself there is no difference between winning and losing. Which way the markets move - in the grand scheme it doesn't matter. That's not what's crashing. What's coming down is reality itself. Our reality, from which the bankers intend to remain shielded by keeping us fixated on the daily lottery number known as the DOW.

Thu, 10/23/2014 - 15:47 | 5368701 SAT 800
SAT 800's picture

So what ? Why did you believe any such story in the first place? Of course it has nothing to do with the economy.

Thu, 10/23/2014 - 14:53 | 5368402 starman
starman's picture

I guess not everybody got the QE4, QE5, QE6, QE7, QE8, QE9 etc etc memo?

Thu, 10/23/2014 - 14:59 | 5368434 Bell's 2 hearted
Bell's 2 hearted's picture

QE kaput ... till next recession

Thu, 10/23/2014 - 14:54 | 5368406 Bunga Bunga
Bunga Bunga's picture

Charts remind me of the dotcom crash, when NASDAQ snapped back 10% in one day and everyone thought the bullmarket is still intact.

Thu, 10/23/2014 - 15:46 | 5368694 SAT 800
SAT 800's picture

Of course. or like any market in history. study the history of markets.

Thu, 10/23/2014 - 15:09 | 5368496 holdbuysell
holdbuysell's picture

Ah yes, the ATR. Once upon a time, it used to be a great way to set stops.

Used to.

Thu, 10/23/2014 - 15:48 | 5368706 SAT 800
SAT 800's picture

Stop loss orders are to limit your losses in a position; they are set according to how much you want to risk on the position they have nothing to do with ATR whatever that is.

Thu, 10/23/2014 - 18:09 | 5369475 Spungo
Spungo's picture

Last POMO for QE is this coming monday-tuesday. That means Wednesday will be a laugh riot.

Do NOT follow this link or you will be banned from the site!