ES Wednesday 11-5-14

my overall concern is that all that were short could cover and drive market up quicker than I like in the first few minutes.......2017 is my dividing line between the magnets of 2013 and 2021.25...my gut feel is that we will see the 21.25. Today I will once again be using the opening range as a filter as we are set to open outside of YD value area and range...watch 2011 - 2013 for possible support ...here is some video babble.......it only took me 3 tries to convey what I wanted to say without flubbing it up too much today...

interesting that the POC of this week is right at the high of last week...RTH only...so 11- 13 is still the line everyone is toying with

The implied volatility is what threw me off. It seems to be a dynamic number. Do we get one for just the previous day?

go here at end of day and use iv index mean

http://www.ivolatility.com/options.j?ticker=SPX

Thanks....

Bruce, is this the part that you are trying to figure out? Whether to use 365 or number of trading days in a year?

"To obtain the intraday figure simply multiply by the square root of the number of days per year (365) shown below

square root of 1 day/365 = .0523421"

Or are you trying to figure out which closing price to use? I am confused on which part you are stuck on..

Using a closing price for YD of 2005.5, a IV of 0.12 and using 250 days in a year (trading days), I get 1 SD of 15.22 points. If I add it to YD close, I get 2020.75.

Today's high so far is 2020.5 so we are pretty darn close

I would imagine that using number of trading days makes more sense than using calendar days. So I would use 250 days instead of 365.

This gives us a multiplier of 0.063 instead of 0.052

Thoughts?

you have the idea...some will use the 4 pm close....we are really trying to define areas...so with the weekly high up there and r2 at 19.25 it helped to create a good zone...so spx closes at 4pm and that is what ivolatility is using.....great that you are showing interest on this

Makes sense. So we got more confirmation that the 20 area was going to hold and should have given more confidence on taking a short there this AM.

I will put together a little spreadsheet to calculate these and I will attempt to publish them everyday before the open. Let's see how we can use this for confirmation.

that's a keeper....thanks stockster

Originally posted by stocksster

p10 in the following article "Putting volatility to work" uses 252 days...
http://www.ivolatility.com/news/Putting_volatility_to_work.pdf

Originally posted by BruceM

yes this is what I am leaning towards also even though haggerty doesn't

Originally posted by NewKid

I would imagine that using number of trading days makes more sense than using calendar days. So I would use 250 days instead of 365.

This gives us a multiplier of 0.063 instead of 0.052

Thoughts?