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Most volatile blue chip shares?

Discussion in 'ASX Stock Chat' started by JackJackJack, Feb 6, 2008.

  1. JackJackJack

    JackJackJack Well-Known Member

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    Which are the most volatile blue chip shares and why?

    Jack :)
     
  2. Aviator33

    Aviator33 Well-Known Member

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    Hi Jack

    Firstly, I guess it depends on how you judge volatility. Personally, I run a scan end of day on the top 20 (XTL) looking at the average % high-low range for the last 20 days. It does change (news events can really swing it) but seems to be fairly consistent. Here's the scan from yesterday for the last 20 days.

    Code:
    Ticker	Date/Time	Close	MA10 Vol	Av Range      %Av Range
    BXB	6/02/2008	10.37	6900590	        0.49	     4.62%
    SGP	6/02/2008	7.3	8137708	        0.302	     4.05%
    QBE	6/02/2008	28.16	4060363.5	1.153	     4    %
    TLSCA	6/02/2008	2.93	38635544	0.113	     3.95%
    RIO	6/02/2008	127.14	3740982	        4.731	     3.83%
    WES	6/02/2008	37.03	3092836.25	1.368	     3.68%
    NAB	6/02/2008	32.78	8321048	        1.262	     3.67%
    MQG	6/02/2008	61.1	3359697.25	2.356	     3.56%
    BHP	6/02/2008	36.66	21730406	1.296	     3.43%
    WDC	6/02/2008	18.1	12292321	0.628	     3.37%
    CSL	6/02/2008	34.62	2209031	        1.17	     3.31%
    CBA	6/02/2008	48.55	7354264	        1.635	     3.23%
    AMP	6/02/2008	8.2	11282666	0.26	     3.05%
    SUN	6/02/2008	15.25	3742179.25	0.447	     2.86%
    WOW	6/02/2008	28.26	5252837	        0.851	     2.86%
    ANZ	6/02/2008	25.44	7991241	        0.75	     2.85%
    WBC	6/02/2008	25.4	8566292	        0.735	     2.83%
    FGL	6/02/2008	5.6	6837089	        0.156	     2.69%
    SGB	6/02/2008	27.75	2416209.5	0.754	     2.63%
    TLS	6/02/2008	4.48	54876836	0.113	     2.56%
    WPL	6/02/2008	46.3	2251307.75	1.16	     2.46%
    I'm only interested in intraday volatility which is why I use high-low. If you want to take day to day movements such as gapping into account (BHP for instance frequently gaps overnight) then you're better off using something like an ATR.

    Cheers
     
  3. IFocus

    IFocus You are arguing with a Galah

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    Aviator is that scan using MS or AB any chance of the code?
     
  4. Aviator33

    Aviator33 Well-Known Member

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    It's AB. I can post up the code for you later today if you're interested?

    Cheers
     
  5. IFocus

    IFocus You are arguing with a Galah

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    Cheers Aviator would appreciate it
     
  6. Aviator33

    Aviator33 Well-Known Member

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    Here ya go Focus. Just run it as an exploration and Bob's your uncle. I find it best to run it against a watchlist of index/sector stocks.

    There's a few parameters you can muck around with to filter the results but the default settings should be fine.

    Let me know if ya have any Q's.

    Cheers
     

    Attached Files:

  7. IFocus

    IFocus You are arguing with a Galah

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    Thanks Aviator its works a treat

    I am still new to AB so appreciate the code

    Thanks Focus
     
  8. Aviator33

    Aviator33 Well-Known Member

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    No worries Focus, hope it's useful for ya

    Cheers
    AV
     
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