steve46

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

First of all I am not an amateur, having obtained an education in this area...
 
The idea that people "engage" in self destructive behaviors is (as with most things that people post here) is misleading....generally people simple LET events overtake them, OR they are unwilling to accept responsibility for behaviors that produce a negative result, because they are too lazy (pure and simple)..to do the hard work of correcting themselves...
 
The fact is that life in general is a struggle, and those of us who have made it to adulthood figure it out at the appropriate time (late teens, early 20's) and adopt an adult appropriate view of the world. The rest fall along a continuum where they may or may not possess a realistic adult view of the world, AND as a result of that immature world view, they believe (wholeheartedly) that the world "owes them" certain things.....then "when not if" the world doesn't cooperate" its NOT their fault....ITS EVERYONE ELSE.....
 
Although its not politically correct, I believe these folks should get a brisk kick in the ass (or perhaps join the military and have someone else apply a "brisk kick in the ass" to them) until they "get it"....
 
The subject is near and dear to my heart because sites like this one attract adult children like magnets (all asking the same questions over and over)...."why do so many traders (fill in the space) blah blah blah...
 
And for the person who suggests that "all animals" do this....ah no....you see in the animal kingdom, "engaging" in self destructive behavior results in their DESTRUCTION.....there is an Darwinian process that prevents that kind of behavior from continuing along a genetic line.