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Strategies & Market Trends : MDA - Market Direction Analysis

SPY 687.57

+0.7%

Dec 10 4:00 PM EST

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To: John Carson who wrote (61112)	10/20/2000 5:12:27 PM
From: Les H	Read Replies (1) of 99985

I looked for it under indices. You may have to look for the actual volatility at option websites. It comes with the software I use. Generally, the VIX will track it until you get to extremes such as this week. Volatility may still be peaking while the VIX may have topped out. Rallies on high actual volatility are usually suspect. But if the volatility starts trending down, that would also confirm the new uptrend in price. Volatility The Volatility indicator is a measure of the fluctuation in price over a specified period of time. The indicator is expressed as the annual percentage change in price which provides a relative basis for examining volatility. This volatility indicator is similar to the volatility used in the Black-Scholes pricing model. The higher the number, the more volatile is the security or the market. Volatility readings help give an indication as to when the security will stage an advance or decline. An increase in volatility, especially after a period of low volatility readings, typically precedes a large move in the security. The direction of the security's movement is usually opposite its current trend. Prolonged high volatility readings often signal a consolidation period. Value shown in Control Panel The value shown is the value of the Volatility indicator for the date specified. Changeable constants The smoothing constant used to compute the moving average of volatility may be changed. The default value for this constant is 21 periods and the permissible range is 2 to 100 periods. I'll look and see if I can find the formula. You need both the actual volatility for the period (21 days) and the smoothed average of the volatility.

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