Updating TICK Volatility Charting for October

Oct 8, 2013: 1:13 PM CST

Speaking of instability of Market Internals from today’s earlier post, let’s take a moment to update our TICK Volatility Charts and make note of the recent changes to the popular market internal.

We’ll start with a view of the “TICK Volatility” chart:

TICK Volatility, TICK, Market internal, intraday trading

For a quick review of how to interpret the data, see the following posts (or the archive below):

The top pane is the Dow Jones Industrial Index (it could easily be the SP500 – it’s just used as a reference), the middle pane in the NYSE TICK with a 20 day (roughly one month) simple moving average of the high and low of the day, and the bottom red line is the difference between the 20 day average TICK high and 20 day average TICK low.

Notice how TICK – like volatility itself – has a cyclical or rhythmic behavior to it.  Like price itself, TICK goes through periods of low or high volatility (range contraction or expansion).

This is why a popular +1,000 or -1,000 value means different things in different volatility environments.

While a +1,000 TICK will be common and unimportant in a high volatility environment, a +1,000 TICK may be rare and important in a low volatility environment.

With that in mind, we see that the 20 day average TICK high for a trading session is 876.   This value has been rising since “bottoming” near the 750 level in August.

The 20 day average TICK low is currently -920 which also is ‘falling’ from its ‘top’ near -741 in early August.

Notice the shift in the red indicator which subtracts the average TICK low from the average TICK high.

A clear downtrend exists in this indicator, which simply means that TICK volatility continues to contract or reduce over time.

It’s less common – relatively speaking – to see intraday TICK values beyond + or – 1,000.

For a quick reference, 36 days in 2013 (19% of 187) have seen intraday TICK highs greater than +1,000.

Similarly, 52 days in 2013 (29% of 187) have seen intraday TICK lows less than -1,000.

Intraday traders who use the NYSE TICK for intraday trading decisions should continue to update TICK Volatility charts and note changes over time.

For prior updates and additional information on the “TICK Volatility” Concept, view any of the prior updates:

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Corey Rosenbloom, CMT
Afraid to Trade.com

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