February 2014 Intraday Range and Gap Volatility Chart Updates for DIA SPY and QQQ

Feb 11, 2014: 4:47 PM CST

With the recent market volatility, let’s take a quick moment to update our Daily Volatility Charts for the S&P 500, Dow Jones, and NASDAQ  ETFs (SPY, DIA, QQQ).

This type of chart will help us see trends or “pockets” of volatility and also adjust our trading strategies to the current “gappiness” and average intraday range.

We’ll start with the SPY – S&P 500 ETF:

S&P 500 ETF SPY Spyder Exchange Traded Funds Daily Volatility Intraday Range

All three charts show the pure price chart along with the Blue Histogram which displays the size of an overnight gap.

We’re most interested in seeing what’s a “normal” opening (or overnight) gap for the ETF along with the “pockets” or clusters of increased frequency of gaps (yellow highlights).

Beneath that is the Intraday Range which is the high minus the low (red histogram).  We can also see that volatility – in the form of Intraday Range – appears as clusters or pockets just like the increased gap frequency.

I plotted a 21 day or one-month average of both the Gap and Range histograms.

Again, we’re interested in pockets and the average.  Right now, we’re in the middle of a heightened volatility pocket (cycle/phase) which can be seen visually and with the rising 21 day average.

The current 21-day average overnight SPY Gap is $0.68.

The current intraday range is $1.89.  Note how the range clustered toward the $2.50 and even the $3.00 level (this represents roughly 25 to 30 points in the S&P 500 and a similar amount of points in the @ES futures contract).

Next up is the Dow Jones “Diamonds” DIA ETF:

Dow Jones DIA ETF Exchange Traded Funds Daily Volatility Intraday Range

We see the same pockets or high/low volatility phases as highlighted with price.

Right now, we’ve seen an increase in overnight gap size where the 21 day average overnight DIA gap is $0.57

The 21 day average intraday high/low range is $1.55 (increased from the $1.00 level).

Finally, we can compare these with the NASDAQ’s QQQ ETF:

NASDAQ QQQ QQQQ ETF Exchange Traded Funds Daily Volatility Intraday Range

The 21 day average overnight gap is $0.36.

Due to the heightened volatility, the 21 day average intraday range is $1.06 – just over the $1.00 level.

Price tends to alternate between periods of high and low volatility, where high volatility tends to correlate strongly with lower prices.

Note the “gappy” periods all occurred during or immediately after a sell-off phase in price.

Continue monitoring intraday range volatility in a historical context similar to this.

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Corey Rosenbloom, CMT
Afraid to Trade.com

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