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Strategies & Market Trends : MDA - Market Direction Analysis -- Ignore unavailable to you. Want to Upgrade?

To: KevinMark who wrote (66109)	1/6/2001 4:03:45 PM
From: KymarFye	Read Replies (1) \| Respond to of 99985

>>>A 5% move in the Nasdaq years ago was considered a market melt-up or down, and a 10% correction, especially in one day warranted a crash. It's seems as though we are getting a min of one to two of these sessions per week. <<<< A few years ago, a stock with a 100-day annualized Historical Volatility reading of 60% was considered very volatile (and therefore of high potential interest and danger to traders). 80 would be considered EXTREMELY volatile (i.e., prices "normally" fluctuating up or down 80% over the course of a theoretical year). Nowadays, if a Nasdaq stock doesn't have a 100-day over 100, I have to consider it a slow-mover, a virtual dinosaur. If its 6-day volatility is around 200 - 300%, then I consider it your normal Nasdaq tradable. On Friday, the index as a whole reached new all-time HV records - 66% on the 100-day, 132% on the 6-day. Remember, that 100-day reading would have been considered very highly volatile for a stock, much less an entire index. By point of reference, for most of the Nasdaq's history, the composite would sustain 100-day HV in the 10-20% range, often much lower, only briefly any higher. After the '87 crash, the 100-day peaked out in the 40s, and stayed that way until the anomalous data points slipped out of the lookback period. Over that same period, the 6-day readings stayed much lower - a normal inversion for such times. For most of 2000, the 100-day volatility of the Nasdaq remained in the 50 - 60% range, and that the 6-day readings were often higher for extended periods reflected that the longer-term readings incorporated numerous events that can no longer be called "anomalous." This great increase in volatility may also partly explain, btw, why the Commercials feel the need to be hedged at such amazing levels. It's not just that they appear to have believed that more downside is or was likely, but that, if and when it came, it could be RADICAL. >>>>There are two days that are forever burned into my synapses. <<<<< Oh yeah, the two you mention are very memorable. I refer to the first, April 4, as "Wack Tuesday." There are many other possible candidates for a list, but I'd begin by adding a third, April 17, when, following a weekend of sheer terror for investors, the Nasdaq gapped down AGAIN, thousands of margin-damaged dip-buyers left shaken by the events of the last month finally capitulated - and a massive two-day rally ensued.