What do traders - particularly system developers - find the best predictors of volatility? I'm only interested in short term (next 24 hours) of any pairs. From backtesting the only results of any significance I could find were
- daily and hourly ATRs
- Daily inside bar (leads to greater vols the following day)
- big news announcements. This is flaky. Interest rate announcements and NFP aside, I'm uncertain as to how tightly correlated other news announcements are to overall volatility.
From research I've found, option implied vols don't seem to be a good predictor of future volatility, even though they're an obvious place to start. Still, I'm all ears if someone finds different.
Thoughts anyone?
- daily and hourly ATRs
- Daily inside bar (leads to greater vols the following day)
- big news announcements. This is flaky. Interest rate announcements and NFP aside, I'm uncertain as to how tightly correlated other news announcements are to overall volatility.
From research I've found, option implied vols don't seem to be a good predictor of future volatility, even though they're an obvious place to start. Still, I'm all ears if someone finds different.
Thoughts anyone?