Daily Speculations

The Web Site of Victor Niederhoffer and Laurel Kenner

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Victor Niederhoffer

Intraday Moves

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The intraday moves from half hour to half hour in the SP yesterday totaled 30 full points in absolute value, or 7500 per big contract of 250 times the index. (A point on the index would be from 1210.00 to 1211.00). This intraday perambulation was the highest in 25 days. Yet the change on the day was just 1/2 points.

One is reminded of the many great days in bonds where the half hour absolute changes in the day were of the order of 6 full point or digits, with a move of 100 to 101 being 1 point where they ended up unchanged.

At the end of the day, one must say something like the Old Man "bonds you killed me, and I killed you, but what a fight it was".

For those not content with the Old Man, quantitative study of total algebraic and absolute variation is always a good antidote to a life of fishing for mackerel or tuna, and some work by the Mr. "Doc" pictured above Professor Dimson on the web mite be a salutary start.

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