Thursday, July 29, 2010
SP500 VOLATILITY - FUTURES
We calculate a proprietary volatility statistic. This indicator has been backtested to 1950 and captures the market's volatility and its relative volatility to other years very well. I use it to adjust my price stops on trades. Other traders may also want to adjust position sizes. Our March 23, 2010 post contains some historical charts. Generally, .95% is our threshold. See our volatility page above.