Here nosotros run into the five-minute ES futures for Friday, plotted amongst a 20-period volume-weighted moving average. Note how book in addition to volatility picked upwards dramatically or in addition to hence the 13:00 PM hour, amongst the statement of depository fiscal establishment stress exam details. Twice inwards the day, nosotros saw buying involvement peter out at novel highs for the day, followed past times tearing selling in addition to as herdlike buying. This created volatile oscillation or in addition to hence the VWAP, trapping buyers in addition to sellers alike.
We've been seeing an increasing total of this herdlike intraday behavior, peculiarly inwards afternoon stock marketplace trading. This is playing havoc on short-term traders in addition to likewise longer-term swing traders, who discovery adept positions apace going bad. There is speculation that leveraged ETFs are contributing to these bandwagon effects, which could ultimately generate 1987-style portfolio insurance-style risks for the market.
Here is the master copy article that outlines how frequent portfolio rebalancing amid leveraged ETFs "magnifies intraday movement". What this suggests is that volatility itself is becoming to a greater extent than volatile as an increasing set out of leveraged ETF participants bring together the market. Today's merchandise may simply last a harbinger of things to come--and adjustments traders ask to make.
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