The Futures Price Surprises page lists the most volitle futures contracts, ranked by standard deviation, compared to their past 20-days of data. The page is re-ranked every 10 minutes, and new contracts may be added to or removed from the bullish and bearish tables based on newly calculated data.
Site Members may also opt-in to receive an End-of-Day Email report of the top 5 Bullish and Bearish symbols found on the Price Surprises page. The End-of-Day Email digests are sent at 5:30 PM CT, Monday through Friday.
Bullish Trends
A Bullish trend is one where there is an upward trend or rising direction in the market. Contracts listed on the Bullish Trends table are those whose standard deviation has risen over the specified time period.
Bearish Trends
A Bearish trend is one where there is an downward trend or falling direction in the market. Contracts listed on the Bearish Trends table are those whose standard deviation has fallen over the specified time period.
Views
The page contain four standard views, and Flipcharts are available for the symbols listed on the page. My Barchart members also have the option to display the data using any Custom View you've created, and the data can be downloaded to Excel.Â
The Chart View displays a graph showing Bullish Momentum as green bars (highest standard deviation), followed by Bearish Momentum as red bars (lowest standard deviation). Click on any Commodity Name to view the quote for that commodity. Hover over any of the green or red bars to view the Last, Change, High, Low prices, plus last trade time.
About Standard Deviation
Price movement on the Price Surprises page is defined in terms of the number standard deviations a contract has moved in the latest trading session. Defining price movement in terms of standard deviations is preferable to using percentage change because using standard deviations puts all the commodities on a level playing field. There are categories of commodities that are typically more volatile and have larger percentage price changes than other commodities. If we used percentage change to define price movement, then high-volatility commodities would always dominate the Price Surprises list and we would miss lower-volatility commodities that might have an unusually large movement on a particular day.
In order to calculate the number of standard deviations that a contract moves in the latest session, we use the following formula:
Today's price movement in terms of number of 20-day standard deviations = ln (latest close/previous close) / ((20-day historical volatility/100)/square root of 252))
In this formula we are simply comparing the latest price change to the standard deviation of the price returns over the last 20 sessions. We are using the "price return" for the daily change because this is how historical volatility is calculated. A "price return" is simply the natural log of the latest close divided by the previous close. Historical volatility is the measure that we use for the comparison in the denominator of our equation because historical volatility is simply defined as the standard deviation of the price returns, factored up to an annualized number. Since historical volatility is typically expressed as an annualized number, we need to reduce it to a daily figure for our daily Long Term Trends calculation by dividing it by the square root of 252 (i.e., the approximate number of trading days in a year). Let's look at an example. August ICE Brent Crude (symbol: CBQ10) on the close of Tuesday, July 13, 2010 had the following input figures: 7/13/2010 close was $76.65, 7/12/2010 close was $74.37, and the 20-day historical volatility on 7/13/2010 was 27.39%. Let calculate how many standard deviations RJU10 moved on 7/13/2010:
Ln (76.65/74.37) / ((27.39/100)/square root of 252) = 1.75
This indicates that August ICE Brent Crude on July 13, 2010 moved by 1.75 standard deviations, which is an unusually large move. According to the normal distribution curve, we would expect a move of more than two standard deviations less than 5% of the time, indicating how unusually large ICE Brent Crude’s price change was on July 13.
Interpretation
The movement of a commodities contract in terms of its standard deviation is also useful to traders because it can be translated into probability terms. According to the normal distribution bell curve, a commodities contract will show a move of less than one standard deviation (plus or minus) about two-thirds of the time, a move of less than two standard deviations 95% of the time, and a move of less than three standard deviations 99% of the time. Thus, if a trader sees a commodities contract that has moved 3 standard deviations, the odds of that event are only 1% (or 1 in 100), meaning that contract is showing a major move from a statistical standpoint that is outside the realm of normal statistical expectations.
