Zero Hedge
0
All posts from Zero Hedge
Zero Hedge in Zero Hedge,

"Real" Stock Volatility In October Highest Since Lehman

While VIX pumped-and-dumped (in a manner never seen before in its history), 'real' volatility of the day to day moves across the major stock indices remains extremely elevated. For the Nasdaq and Dow Transports, the average true range over the last few weeks is the highest since the post-Lehman collapse...

 

 

 

The Dow, S&P, and Russell 2000 are back at the highest average true range since the US downgrade in Summaer 2011..

Charts: Bloomberg

*  *  *

Reminder: The Average True Range is a measure of volatility introduced by Welles Wilder in his book: New Concepts in Technical Trading Systems.

The true range indicator is the greatest of the following:

-current high less the current low.

-the absolute value of the current high less the previous close.

-the absolute value of the current low less the previous close.

Simply put, a stock experiencing a high level of volatility will have a higher ATR, and a low volatility stock will have a lower ATR.