Volatility is a measure of how quickly a stock’s price typically changes.  These filters allow you to seek or to avoid stocks which typically move very quickly.

We always express volatility as the normal amount that a stock moves in a 15 minute period.  Set the min volatility filter to $0.10 to see only stocks which typically move at least 10 cents ($0.10) every 15 minutes.  Set the max volatility filter to 0.2% to see only stocks which typically move no more than 20 basis points (0.2%) every 15 minutes.

We chose 15 minutes as a baseline because many of our volume confirmed alerts look the best on a chart with 15 minute candles.  We use this value everywhere, for consistency.  When a filter uses "bars" as units, this refers to the average amount that a stock’s prices moves between one 15 minute bar and the next.  For a quick idea of what this means, just look at a stock chart with 15 minute bars, and see how much the price changes from the close of one bar to the close of the next.  For a precise value, look up a stock in our stock screener.

Many traders are scared off by volatility because of the complicated formulas.  Don’t be.  Most traders use volatility all the time, and aren’t even aware of it.  When you look at a stock chart, and a stock moves up one inch, what does that mean?  It depends on the chart!  Most people draw a chart so that the highest price on the chart as at the top of the chart, and the lowest price is at the bottom.  So an inch means more for a stock which typically moves more, a stock with a higher volatility.

Many of our alerts and filters automatically take volatility into account.  If a stock has a higher volatility, it has to move more before we notice it.  This is exactly the same as the example above, with the chart, except that our volatility formula is more precise.

We use a proprietary formula for volatility.  In particular, we expect stocks to move more around the open and the close than during lunch time.  We expect stocks to move more on high volume days and we give less weight to what happens on low volume days.  We compute volatility based on the previous two weeks of historical data.