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1. ## steve46

Market Wizard

1617

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Showing content with the highest reputation on 11/06/19 in all areas

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## Volatility Bands

Hello Since you don't mention a specific platform (Tradestation for instance) I assume what you really want is a mathematical formula for intraday vol? I am not familiar with Haggerty's method but can offer my own as follows; 1. Go to IVolatility.com and get the most recent IV (Implied Vol) for the instrument you trade. If for example it is the ES contract, then it is approximately 37%....convert to .37 2. To compute a one (1) standard deviation trading range (annualized) 1 x .37 x previous day's closing price (900 for the ES contract) = 333 pts above and below that close To obtain the intraday figure simply multiply by the square root of the number of days per year (365) shown below square root of 1 day/365 = .0523421 333 pts x .0523421 = 17.43 pts Indicates that the intraday 1 sd range for the ES contract should be 900 plus or minus 17.43 pts. or 882.50 - 917.50 Rinse & repeat to obtain 1.28, 1.5 and 2.0 standard deviations and you have "approximate" intraday ranges for the ES today (Jan 02, 2009) Here they are out to 1.5 +1.5 sd = 926.25 +1.28 sd = 922.50 +1 sd = 917.50 900 (previous day's close) -1.5 sd = 882.42 -1.28 sd = 877.60 -1.5 sd = 873.75 Remember that its an approximation and that it "suggests" that the price series is normally distributed (it isn't)..so there are quite a few limitations to it. I wouldn't use it but there it is.... Hope it helps Steve
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