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What has happened to volatility

  • #41
  • May 8, 2017 7:25am May 8, 2017 7:25am
Quoting iDouble
{quote} I was thinking something more along the lines of pairs like GBPNZD. The USD is connected to both as Counter Currency and that, coupled to the changes I describe above, is what will continue to drive the nice volatility in pairs similar to that - especially if they are included in the SDR. Regarding, BTC. I am so glad my platform does not contain this stuff. If it did, I would toss it in the trash can. Who other than a Bucket Shop is offering this. Wow. Not even my Test Broker has this stuff on its platform. Just make sure you can make a...
Quoting TGS
{quote} Do you happen to know which broker offers the lowest spread for trading BTC? I would like to check out its volatility on demo.
There might be some misunderstanding here. We do not trade bitcoin like retail Forex! (There are no brokers and you do not need them)
I'm not on the buy side of the market. I'm on the sell side 99% of the time.
Buy bid, sell offer....buy bid sell offer.....that's all we do. So essentially we are market makers.
We use to do it manually for some time but things are progressing now....
and I'm working on automated HFT algorithms. (For automated market making)
For me low spreads are not good. I want large spreads + large volatility on the upside(preferable).
  • #42
  • May 9, 2017 2:59am May 9, 2017 2:59am
Quoting alphaomega

  1. We do not trade bitcoin like retail Forex!
  2. I'm not on the buy side of the market. I'm on the sell side 99% of the time.
  3. Buy bid, sell offer....buy bid sell offer.....that's all we do.
  4. So essentially we are market makers.
  5. For me low spreads are not good. I want large spreads + large volatility on the upside(preferable).

I have no idea what you're talking about but it sounds interesting. Can you explain a bit more?
  • #43
  • May 9, 2017 12:46pm May 9, 2017 12:46pm
VIX at all time low after high profile risk event... Just incredible and far, far, far from normal. Lets hope it's the calm before the storm:
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  • #44
  • May 11, 2017 9:28am May 11, 2017 9:28am
Although the results are only from about one week of trading, it is enough to see there's a pattern emerging.

Hour 0 is broker rollover; hour 10 is Frankfurt; hour 16 is New York.

There are an increasing number of setups an hour before, and leading into New York, and an hour after.

Then, there are a consistent number of setups starting from the closing of London at around hour 22 to the start of Frankfurt at around hour 10.

The setups essentially occur during ranging markets and as the picture shows, there's very little setup from Frankfurt to an hour before New York which implies a trending period from hour 10 to 15.

Based on the picture, I'd estimate the market trends closer to only 15% of the time to perhaps 20% of the time while ranging the remaining 80% to 85%.

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  • #45
  • May 11, 2017 6:01pm May 11, 2017 6:01pm
Velocity of money in circulation is becoming a real problem. M2 money stock is at its lowest level since the data was first recorded in 1959. No amount of QE can help with inflation, if money is exchanging hands slower and slower. Maybe this is also partly to blame for record low volatility. We live in a very strange economy nowdays.
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  • #46
  • May 11, 2017 7:05pm May 11, 2017 7:05pm
Weekly/Monthly based, it still gives us opportunity. Also, lower ADR means lower SL. Market changes always and we need to adapt it. If trend following strategy doesn't work very well on your side, you may try range bound strategy trying to pick top/bottom. In short, there are decent number of people still making decent amount of money from the market.
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Simplicity is the ultimate sophistication - Leonardo da Vinci
  • #47
  • May 11, 2017 7:28pm May 11, 2017 7:28pm
Quoting heispark
Weekly/Monthly based, it still gives us opportunity. Also, lower ADR means lower SL. Market changes always and we need to adapt it. If trend following strategy doesn't work very well on your side, you may try range bound strategy trying to pick top/bottom. In short, there are decent number of people still making decent amount of money from the market. {image}
It's not that low volatility makes market untradable, it's just that it's harder to predict what market will do. You can see completed H&S, double top, wedge etc, and often see no follow through. I'm a swing trader, trading price patterns and divergences on higher timeframes. Trades that used to take a day or two to complete, can take a full week or more now, being exposed to all kind of fundamental news events in between. Such trading conditions were typical only for late summer months and holidays in the past.
  • #48
  • May 11, 2017 8:17pm May 11, 2017 8:17pm
Quoting Tom81
{quote} It's not that low volatility makes market untradable, it's just that it's harder to predict what market will do. You can see completed H&S, double top, wedge etc, and often see no follow through. I'm a swing trader, trading price patterns and divergences on higher timeframes. Trades that used to take a day or two to complete, can take a full week or more now, being exposed to all kind of fundamental news events in between. Such trading conditions were typical only for late summer months and holidays in the past.
We live in algo and high speed trading era. What we see now may be the new normal. I won't be surprised even if the conventional markets we know disapear in next 20 years.... There will be less and less rooms we average people can do in the future.
Simplicity is the ultimate sophistication - Leonardo da Vinci
  • #49
  • May 12, 2017 9:04am May 12, 2017 9:04am
Quoting heispark
{quote} We live in algo and high speed trading era. What we see now may be the new normal. I won't be surprised even if the conventional markets we know disapear in next 20 years.... There will be less and less rooms we average people can do in the future.
HFT will probably get regulated/banned, it's only a matter of time, like with Libor. Just wait for the next big market crash. You can't have algos deciding currency prices on grand scale, it kills the idea of fair fiat money price. I know HFT company, which algos won 100 % positions with very low potential DD over four months... No human trader can do that. HFT is not trading, it's legalized stealing. EU commission has already taken HFT trading rules under the microscope, we just need another big market crash to see regulation come trough in EU and US, others will follow. But some people will get filthy rich in between.
  • #50
  • May 26, 2017 4:31am May 26, 2017 4:31am
Hope you guys liked last weeks movements, because volatility is back at the same low levels as before. Currency trading died.
Price and volume reveals everything. The market moves on supply and demand.
  • #51
  • May 26, 2017 1:21pm May 26, 2017 1:21pm
Quoting Darastonius
Just wait a minute, and he'll start going on about this actually being the most prosperous period in the markets, and he averages 300 pips every day on a 1 tick chart in 500 trades daily, and the main problem is, that we are actually much shittier traders than he is.
Yes, VIX under 10 again I've read some comments that volatility will not rise until FED, ECB and BOJ stop bond-buying programs and normalize interest rates, which will probably not happen anytime soon. I guess no one wants to go against big central banks. It looks like this is a new "normal". We'll just have to adopt or move to other markets.
  • #52
  • May 26, 2017 8:43pm May 26, 2017 8:43pm
It was an excellent volatile week as always.
My fx "stock" made an average 130 EUR move (275-405) and plenty of good big moves almost on every day.
  • #53
  • May 26, 2017 9:03pm May 26, 2017 9:03pm
Quoting Tom81
Why don't we see strong movements even when technical price patterns are there, even when news like yesterday May's would normally shock markets, French elections with possible Frexit ahead, and still VIX near all time low? What do we need? SP500 to crash,
https://www.cboe.com/micro/vix/vixwhite.pdf

All that matters is what the S&P does, because the VIX is calculated from options on the S&P futures (SPX). Nothing else matters, technically:

"The VIX calculation measures 30-day expected volatility of the S&P 500 Index. The components of the VIX calculation are near- and next-term put and call options with more than 23 days and less than 37 days to expiration. These include SPX options with standard 3rd Friday expiration dates and weekly SPX options that expire every Friday, except the 3rd Friday of each month. Once each week, the SPX options used to calculate VIX roll to new contract maturities. For example, on the second Tuesday in October, the VIX index would be calculated using SPX options expiring 24 days later (i.e., near-term) and 31 days later (i.e., next-term). On the following day, the SPX options that expire in 30 calendar days would become the near-term options and SPX options that expire in 37 calendar days would be the next-term options." etc.....

Knock yourself out with the CBOE White paper linked above.

Why will the S&P never go down anymore? That's really the question. It ranges or trends up, occasionally sees a shallow dip that is almost immediately bid. You can find as many answers as time allows. I think it gets back to 1) TINA ("there is no alternative") and 2) liquidity glut - huge amounts of cash are being held outside of the markets. Of course (1) and (2) are correlated with CB's policies keeping the cost of money low - i.e., keeping interest rates low.

So, there's no good yield alternatives for excess cash in the safest bond markets, leading to cash being piled up, and this means any spook dip in equities gets bought immediately. Which makes for low volatility and a bottoming ^VIX.

What might happen that would change this regime?
"If The Fool persists in his Folly he will become wise." - William Blake
  • #54
  • May 27, 2017 3:03pm May 27, 2017 3:03pm
Quoting The Fool
{quote} So, there's no good yield alternatives for excess cash in the safest bond markets, leading to cash being piled up, and this means any spook dip in equities gets bought immediately. Which makes for low volatility and a bottoming ^VIX. What might happen that would change this regime?
Exactly my point. But this has to stop at some point in time. Big central bank assets have jumped to 21 trillion $ in just 5 years. Basically, big central banks are the market nowdays. World GDP is around 75 trillion $, so CBs "own" almost one third of the world GDP. Monetary policies are so out of control, I don't know if even heads of CBs know how to end this vicious cycle of world dependency on cheap money. How will they react, if we get second global financial crisis? God knows financial bubbles are everywhere now. Will they pump their balance sheets to 30, 40, 50 trillion $? Why not? We live in times of alternative facts after all.
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  • #55
  • May 27, 2017 5:34pm May 27, 2017 5:34pm
Quoting Tom81
Exactly my point. But this has to stop at some point in time.
yep, at some point in time I will be broke, dead, dust...and so on. Sure, everything changes - but how you gonna see that change coming with enough time to trade it well?
"If The Fool persists in his Folly he will become wise." - William Blake
  • #56
  • May 27, 2017 8:43pm May 27, 2017 8:43pm
Quoting Tom81
{quote} Exactly my point. But this has to stop at some point in time. Big central bank assets have jumped to 21 trillion $ in just 5 years. Basically, big central banks are the market nowdays. World GDP is around 75 trillion $, so CBs "own" almost one third of the world GDP. Monetary policies are so out of control, I don't know if even heads of CBs know how to end this vicious cycle of world dependency on cheap money. How will they react, if we get second global financial crisis? God knows financial bubbles are everywhere now. Will they pump their...
Central banks are out to make money too.

Small retail investors look to bitcoin to trade because its market is too small for banks to enter.

Lots of volatility with the crytocurrency markets...where traditional technical analysis and fundamental analysis do not apply.
You came here for the truth and let me unveil it for you
  • #57
  • Edited 1:50pm May 28, 2017 12:04pm | Edited 1:50pm
Quoting RondaRousey
{quote} Central banks are out to make money too. Small retail investors look to bitcoin to trade because its market is too small for banks to enter. Lots of volatility with the crytocurrency markets...where traditional technical analysis and fundamental analysis do not apply.
Big central banks never run out of money. They print it out of thin air. It would be good to know how will they react, when shit hits the fan again. If they will bail out everyone with printing more money, it might be prudent to enter on buyers side after stock markets collapse.
  • #58
  • May 28, 2017 12:57pm May 28, 2017 12:57pm
There are still possibilities.
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  • #59
  • Jun 5, 2017 8:55am Jun 5, 2017 8:55am
Summer months are coming but VIX in already at 25 years lows. We can expect even less volatility statistically. What a bummer. Any kind of financial bubble burst soon, please.
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  • #60
  • Jun 5, 2017 9:32am Jun 5, 2017 9:32am
Just google "VIX manipulation", a lot of recent articles come up, basically this itself can be the bubble. The VIX kept supressed, so people are shorting volatility, and if everybody is shorting, it is obvious, who takes the long side of the orders. And then once they'll let go of it....
Price and volume reveals everything. The market moves on supply and demand.
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