Data Driven Discussions

This thread is for discussing ideas around certain data points regarding the market.

To start, let's look at expected moves based on historical volatility.



Overstated = Green, Understated = Red

Expected moves based on historical volatility are overstated almost all the time regarding 1SD moves and is usually understand for 3SD moves.

Thoughts on how you would use this data?

My first thoughts on it:

This gives no insight at all in to directional plays.
The data can still be very helpful depending on what your strategy is.

Example, collecting swap is similar to collecting premium on an options trade.

Assuming direction is random, can post other data that outlines this to almost be true minus 1-2% drifts depending on market "trend", you trade in direction of swap with SL/TP at 1SD.

75% of the time price won't hit either at the end of the 30 day period and depending on rollover, interest collected should have reduced cost basis enough to move your entry past the break even level even if the directional trend is against you 1-2%.