Intraday Volatility Versus Close to Close, It’s a Big Difference When Analyzing Market Movement
There is so much information to review when trading Options and Futures Contracts. When trading Options, it is essential to review the Implied and Historical Volatility, but Friday’s 965 point range in Coffee combined with its menial 15 point lower close, leads one to consider hedging gamma on a close to close basis. While this methodology can be painful in a market with a significant daily move, the ramifications of hedging gamma when the markets have tremendous intraday volatility can be equally, and maybe more deadly, depending on the market. In today’s electronic trading environment, where locals in the futures pits have been replaced by algorithms on the screen, drafts of trading have become more prevalent. Algorithms are set up to front run orders and reduce the liquidity that used to be prevalent in the market. If one is trading a market which isn’t extremely liquid, this type of experience should be common.
The Tables below provide information about the daily movement of the markets for the last ten days. In addition, there is the Volatility Review which provides a plethora of information about the market’s Historical and Implied Volatility. Included in this data is a review of the Average True Range of each market for the last 20 days. It provides an opportunity to analyze many aspects of market movement in order to potentially determine the best methodology for hedging market risk.
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| C- Px | Chg | CL- Px | Chg | CT- Px | Chg | EU- Px | Chg | GC- Px | Chg |
| 9/16 | 6920 | -90 | 8818 | -141 | 11052 | -110 | 13783 | -92 | 18147 | 333 |
| 9/15 | 7010 | -232 | 8959 | 58 | 11162 | -205 | 13875 | 134 | 17814 | -451 |
| 9/14 | 7242 | 12 | 8901 | -127 | 11367 | 66 | 13741 | 38 | 18265 | -36 |
| 9/13 | 7230 | -224 | 9028 | 197 | 11301 | 72 | 13703 | 130 | 18301 | 168 |
| 9/12 | 7454 | 90 | 8831 | 90 | 11229 | 42 | 13573 | -81 | 18133 | -462 |
| 9/9 | 7364 | 24 | 8741 | -182 | 11187 | -176 | 13654 | -225 | 18595 | 20 |
| 9/8 | 7340 | -140 | 8923 | -32 | 11363 | 329 | 13879 | -203 | 18575 | 399 |
| 9/7 | 7480 | -76 | 8955 | 324 | 11034 | 400 | 14082 | 102 | 18176 | -557 |
| 9/6 | 7556 | -44 | 8631 | -43 | 10634 | 45 | 13980 | -191 | 18733 | -36 |
| 9/2 | 7600 | 216 | 8674 | -250 | 10589 | 11 | 14171 | -86 | 18769 | 478 |
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| KC- Px | Chg | S- Px | Chg | SB- Px | Chg | SP- Px | Chg | W- Px | Chg |
| 9/16 | 26040 | -15 | 13554 | -32 | 2631 | -187 | 121180 | 760 | 6882 | -76 |
| 9/15 | 26055 | -515 | 13586 | -240 | 2818 | 6 | 120420 | 2200 | 6960 | -84 |
| 9/14 | 26570 | -460 | 13826 | -90 | 2812 | 16 | 118220 | 1700 | 7044 | 24 |
| 9/13 | 27030 | -65 | 13916 | -42 | 2796 | -22 | 116520 | 790 | 7020 | -252 |
| 9/12 | 27095 | 95 | 13960 | -306 | 2818 | 54 | 115730 | 500 | 7272 | -24 |
| 9/9 | 27000 | -1410 | 14266 | 84 | 2764 | -15 | 115230 | -2770 | 7296 | -82 |
| 9/8 | 28410 | -40 | 14182 | -24 | 2779 | 1 | 118000 | -1330 | 7380 | -134 |
| 9/7 | 28450 | 355 | 14206 | -18 | 2778 | 21 | 119330 | 3450 | 7514 | -86 |
| 9/6 | 28095 | -710 | 14224 | -232 | 2757 | -79 | 115880 | -480 | 7600 | -154 |
| 9/2 | 28805 | -170 | 14456 | 112 | 2836 | -37 | 116360 | -3200 | 7754 | 144 |
| Sym | 10-D His | 20-D His | 30-D His | 60-D His | 90-D His | Imp Vol | IMP-30D | 10Day>30 | 20-Day>30 | Avg. His. | ATR 20 D |
| KC | 28.15 | 25.33 | 27.52 | 25.01 | 26.37 | 34.90 | 7.38 | 0.63 | -2.19 | 26.48 | 711 |
| SB | 37.97 | 34.68 | 35.20 | 34.83 | 32.84 | 36.77 | 1.57 | 2.78 | -0.52 | 35.10 | 99 |
| CC | 19.33 | 25.26 | 24.47 | 24.19 | 23.21 | 27.95 | 3.48 | -5.14 | 0.79 | 23.29 | 54 |
| CT | 28.23 | 22.36 | 31.72 | 35.91 | 38.72 | 31.92 | 0.20 | -3.49 | -9.36 | 31.39 | 302 |
| OJ | 20.61 | 20.16 | 32.46 | 26.09 | 23.89 | 28.43 | -4.03 | -11.85 | -12.30 | 24.64 | 324 |
| DX | 14.06 | 10.71 | 10.10 |
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| 12.02 | 1.92 | 3.96 | 0.62 | 6.97 | 66.2 |
| CL | 32.18 | 25.77 | 38.99 | 34.74 | 33.37 | 40.15 | 1.16 | -6.81 | -13.22 | 33.01 | 263 |
| HO | 24.49 | 19.55 | 26.30 | 27.52 | 26.87 | 32.58 | 6.28 | -1.81 | -6.75 | 24.95 | 6.26 |
| RB | 28.57 | 23.41 | 30.77 | 31.62 | 30.65 | 36.38 | 5.61 | -2.20 | -7.36 | 29.00 | 6.83 |
| NG | 33.59 | 32.19 | 28.64 | 26.31 | 26.81 | 35.54 | 6.90 | 4.95 | 3.55 | 29.51 | 117 |
| GC | 32.13 | 33.82 | 31.62 | 24.37 | 20.59 | 27.48 | -4.14 | 0.51 | 2.19 | 28.50 | 38.32 |
| SI | 43.62 | 47.99 | 44.60 | 44.07 | 42.86 | 42.62 | -1.98 | -0.97 | 3.39 | 44.63 | 1.27 |
| S | 15.54 | 18.15 | 18.21 | 16.53 | 15.70 | 20.16 | 1.95 | -2.67 | -0.06 | 16.83 | 20.38 |
| SM | 20.17 | 21.74 | 20.83 | 19.66 | 18.83 | 19.10 | -1.73 | -0.66 | 0.92 | 20.25 | 5.98 |
| C | 29.84 | 29.84 | 28.23 | 32.64 | 32.76 | 30.82 | 2.59 | 1.60 | 1.61 | 30.66 | 17.07 |
| W | 22.69 | 28.18 | 29.05 | 36.96 | 35.81 | 33.35 | 4.30 | -6.35 | -0.87 | 30.54 | 18.45 |
| LC | 13.37 | 10.89 | 13.38 | 13.37 | 14.40 | 15.72 | 2.34 | -0.01 | -2.49 | 13.08 | 142.1 |
| LH | 21.53 | 19.05 | 20.26 | 19.50 | 18.65 | 22.59 | 2.32 | 1.27 | -1.21 | 19.80 | 143 |
| SP | 27.53 | 27.83 | 41.59 | 32.71 | 27.92 | 28.14 | -13.45 | -14.06 | -13.76 | 31.52 | 34.08 |
| EU | 15.85 | 12.32 | 11.84 | 11.50 | 11.70 | 15.49 | 3.65 | 4.02 | 0.48 | 12.64 | 139.6 |
FUTURES AND OPTIONS TRADING INVOLVES SIGNIFICANT RISK AND IS NOT SUITABLE FOR EVERY INVESTOR. THE INFORMATION IS OBTAINED FROM SOURCES BELIEVED TO BE RELIABLE, BUT IS IN NO WAY GUARANTEED. PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS.
