Alternate Method of Combining Pivots and Volatility

Ever since reading Tony Crabel's work on Opening Range Breakouts, I have used 10 days as a standard for measuring almost everything in the market.

One of the things that I keep track of in a spreadsheet is the largest distance that the market moves from the 0930 ET Open in the 0930 to 1600 ET time frame. Above is the 10-day average of that distance, and the 10-day Standard Deviation of that distance. Yesterday, 01/06/09, the 10-day average was 16.43 and the standard deviation was 9.06. This allows us to keep track of the changes in market volatility in the last 10 days.

In the above chart, I have calculated possible pivot points based on the 0930 ET open, and the 10-day average and standard deviation of the largest distance from the open.

The Average Distance Up/Down is just the Open +/- the 10-day average.

R1 is the Average Distance Up - the Standard Deviation.

R2 is the Average Distance Up + the Standard Deviation.

S1 is the Average Distance Down + the Standard Deviation.

S2 is the Average Distance Down - the Standard Deviation.

In this way, we have tied together statistical information on the average distance that the market moves from the 0930 ET open, and the volatility of the last 10 days.

Charles