Volatility Tracker

This page includes 2 graphs and 1 table. They are described below:

Open to Close Volatility graph: This graph tracks the 3 day and 5 day moving averages of the difference between what the Nasdaq futures opened at and what they closed at. (I consider open to be the price at 9:30 AM and close to be the price at 4:00 PM)

High to Close Volatility graph: This graph tracks the 3 day and 5 day moving averages of the difference between what the high and the low for the Nasdaq futures. (I consider only the highs and lows reached between 9:30 AM and 4:00 PM)

Volatility Tracking Table: This table tracks all the data required for creating the 2 graphs above

The 2 graphs and the table are updated daily with the prior day’s numbers.

How Do I Use This Data?:

Since my strategy revolves around collecting a premium for out of the money spreads, an ideal environment for me is one where the Implied volatility in options is greater then the actual volatility that ends up occurring. For this reason I prefer to trade more aggressively in environments were I see both the 3 day and 5 day moving average volatility measures moving down on the graph or when the 3 day MA crosses below the 5 day Moving Average, as this indicates that realized volatility is coming down. Likewise I am more cautious when these measures are rising or when the 3 day MAs cross above the 5 day MAs. I have also noticed that when the Moving Averages approach $50, we often get a large jump in volatility, so this is also a level where I become cautious.

Open to Close Volatility graph:

High to Close Volatility graph:

Volatility Tracking Table: