Cherry Picks

Scalping Ranges, Monthly Moves and IV Changes

By:Michael "Dr. Data" Rechenthin

A weekly look at quantitative investing from Dr. Data

Scalping ranges

These ranges are categorized into percentiles: 50%, 75%, and 95%–indicating how frequently the market prices stay within these bounds.

For instance, a 95th percentile range means that 95% of the time, market prices fluctuate within this specific high-low range, and only 5% of the time do they exceed it.

This information is crucial for traders, particularly those focusing on short-term strategies, as it helps in setting realistic expectations for price movements, managing risk, and identifying potential deviations from usual market behavior.

Scalping Chnages

S&P 500 monthly returns

Observe the market's performance in the following data. Annual returns for each year are displayed on the far right for easy comparison. The S&P 500 is up 25% year to date - sweet.

SPY Returns

10 biggest monthly movers

It's been a good month for small and mid-cap stocks—higher volatility being realized to the upside in these stocks. Volatility tends to stay bid or increase in these lower priced stocks because of the asymmetry of risk (capped downside in the stock that is already near lows).

Biggest movers in SPY

Many of the lower volatility "divided stocks" have been weak—even with the rise in the market and lower interest rates.

Biggest loser in SPY

Top implied volatility movers

Below are the top five biggest one-month increases in implied volatility and the top five biggest decreases in implied volatility. United States Natural Gas Fund (UNG) had the biggest point move, while Invesco QQQ Trust (QQQ) had the biggest decline over the past three months.

implied Volatility Movers

Michael Rechenthin, Ph.D., (aka “Dr. Data”), managing director of research and development, has 25 years of trading and markets experience. He is best known for his weekly Cherry Picks newsletter. On Thursdays, he appears on Trades from the Research Team LIVE.

For live daily programming, market news and commentary, visit tastylive or the YouTube channels tastylive (for options traders), and tastyliveTrending for stocks, futures, forex & macro.

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