Scalping Ranges, Monthly Moves and IV Changes
Scalping Ranges, Monthly Moves and IV Changes
A weekly look at quantitative investing from Dr. Data
Scalping ranges
These ranges are categorized into percentiles: 50%, 75%, and 95%–indicating how frequently the market prices stay within these bounds.
For instance, a 95th percentile range means that 95% of the time, market prices fluctuate within this specific high-low range, and only 5% of the time do they exceed it.
This information is crucial for traders, particularly those focusing on short-term strategies, as it helps in setting realistic expectations for price movements, managing risk, and identifying potential deviations from usual market behavior.
S&P 500 monthly returns
Observe the market's performance in the following data. Annual returns for each year are displayed on the far right for easy comparison. The S&P 500 is up 25% year to date - sweet.
10 biggest monthly movers
It's been a good month for small and mid-cap stocks—higher volatility being realized to the upside in these stocks. Volatility tends to stay bid or increase in these lower priced stocks because of the asymmetry of risk (capped downside in the stock that is already near lows).
Many of the lower volatility "divided stocks" have been weak—even with the rise in the market and lower interest rates.
Top implied volatility movers
Below are the top five biggest one-month increases in implied volatility and the top five biggest decreases in implied volatility. United States Natural Gas Fund (UNG) had the biggest point move, while Invesco QQQ Trust (QQQ) had the biggest decline over the past three months.
Michael Rechenthin, Ph.D., (aka “Dr. Data”), managing director of research and development, has 25 years of trading and markets experience. He is best known for his weekly Cherry Picks newsletter. On Thursdays, he appears on Trades from the Research Team LIVE.
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