Distribution · jumps · liquidity · state card
6Z Volatility Profile: Measure State, Jumps and Liquidity Separately
Two sessions can print the same average true range while presenting different risks. One may move continuously through a two-sided book; the other may be quiet until an event gap crosses several ticks as spreads widen. A 6Z volatility profile must therefore describe the return distribution, jump concentration and executable liquidity—not reduce the market to a single ATR label.
- Range
- Path magnitude
- Returns
- Distribution
- Jumps
- Discontinuity
- Liquidity
- Execution stress
No single estimator owns volatility
Use Measures That Answer Different Questions
Freeze bar construction, session boundary, timezone and contract-roll policy before calculating. Report sample period, observation count, missingness and uncertainty. A current rolling value should be compared with its own historical distribution, not labeled “high” because of an arbitrary number.
| Measure | Question | Critical limitation |
|---|---|---|
| Close-to-close return | How much did the marked price change? | Misses the intraperiod path |
| High-low or true range | How wide was the observed bar? | Depends on sampling and does not show liquidity |
| Realized variation | How much intraday return variation accumulated? | Noise, bad ticks and irregular sampling matter |
| Gap or jump proxy | Was movement concentrated discontinuously? | Threshold is model-dependent and must be registered |
| Spread and depth stress | Was the move executable near displayed prices? | Requires synchronized quote data |
Worked state example
Distinguish a continuous high-range session from a jump session
Begin with two sessions whose true ranges fall in the same training-sample percentile band. For each, calculate returns on the same validated sampling grid, the share of total variation concentrated in the largest interval, the maximum quote-to-quote gap, time-weighted spread, lower-tail depth and recovery time after the largest move. Preserve the full path so a single bad tick can be investigated rather than absorbed into the label.
If the first session accumulates variation across many intervals while spread and depth remain inside ordinary bounds, label it continuous high variation under the registered rule. If the second concentrates variation around an official event while spread widens and depth depletes, label the price and liquidity dimensions separately: jump candidate, stressed book and event proximity. Do not infer that the second state must continue or reverse. Validate each label on later data, audit transitions around threshold boundaries and return “unscorable” when quotes are missing. The distinction is useful only if it changes a declared risk or execution permission and improves that decision in holdout.
Track disagreement among measures rather than forcing one label. A wide range with ordinary realized variation, or elevated returns with stale quotes, is a diagnostic state that requires review before it can receive risk permission.
Its value changes with bar interval, session construction, lookback and smoothing. Disclose those choices; never present an undocumented “typical 6Z ATR” as a durable contract fact.
Show the center and the tails
Describe a Distribution, Not an Average Day
For each registered horizon, publish quantiles, dispersion, downside and upside tails, serial dependence and the number of eligible observations. Use rolling estimates only with lagged inputs when the state would drive a live decision. Separate the training period used to set state cutoffs from the later period used to validate them.
Level
Current percentile
Place the lagged estimator inside the training distribution with its exact lookback.
Persistence
Transition frequency
Measure how often and how quickly states change instead of assuming clustering is constant.
Shape
Tail asymmetry
Report positive and negative quote returns separately and preserve 6Z orientation.
Quality
Missing and bad data
Fail intervals with unresolved quotes or contract seams; do not treat them as calm.
Split path risk from execution risk
Pair Return Movement with the Book
A large return with ordinary spread and replenishing depth is a different execution state from the same return during sparse updates and a widening market. Synchronize trades and quotes, then measure conditions immediately before, during and after each registered jump candidate.
| Diagnostic | Before | During | After |
|---|---|---|---|
| Price | Pre-event midquote and trend | Return path and largest gap | Reversal, continuation or no stable quote |
| Spread | Time-weighted baseline | Peak and duration | Time to registered recovery |
| Depth | Quantity through fixed tick bands | Depletion and cancellations | Replenishment distribution |
| Execution | Arrival benchmark | Fills, rejects and slippage | Implementation shortfall |
The 6Z Liquidity Map owns descriptive market-quality mapping; Why 6Z Slippage Can Hit Harder owns realized execution-cost diagnosis.
Label information arrival
Keep Official Events and Ordinary Time Separate
Attach source timestamps for SARB decisions, FOMC decisions and other preregistered releases. Build relative-time windows around each event and comparable non-event controls. Event-day volume does not automatically imply good execution: spreads, depth and shortfall must be measured independently.
Decision, statement and press conference timestamps from official materials.
FOMC decision and press conference windows from Federal Reserve calendars.
Use official release timestamps and versions; do not backdate revisions.
Label from contemporaneous evidence without pretending the event was forecastable.
Keep South African, U.S. and exchange holidays distinct.
Separate active, migration and expiry-proximate observations.
A state card, not a personality
Publish the Inputs Behind the Label
A live state card should show calculation time, dated contract, data completeness, return and range percentiles, jump flag, spread and depth condition, event proximity and transition confidence. The state name is only shorthand for these visible fields.
Observe
Use data available at the card timestamp.
Score
Apply thresholds frozen in the training sample.
Cross-check
Compare price state with liquidity and event state.
Decide
Route to normal, reduced, wait or reject permissions.
Expire
Refresh at the registered interval or material event.
Volatility does not determine size by itself
Hand the State to the Risk Process
The state card supplies measured conditions. The 6Z Position-Sizing Guide owns the calculation that combines a declared loss budget, executable stop distance, tick value, slippage and gap stress. Confirm exchange units and arithmetic in 6Z Tick Size and Value. If spread, depth or data-quality gates fail, the correct size can be zero regardless of a volatility label.
No original result is reported. This page publishes no 6Z ATR, session-range, realized-volatility, jump-frequency, spread or depth statistic; it is a measurement and state-classification protocol, not a forecast.
Sources, methods and editorial disclosure — reviewed August 25, 2026
- CME Rulebook Chapter 259 for 6Z contract identity and exchange-rule context.
- CME DataMine for official historical settlements and order-book data categories.
- SARB MPC announcements and Federal Reserve FOMC calendars for official event timing.
Sources were reviewed August 25, 2026. This unsponsored article distinguishes contract facts, proposed estimators, event labels and risk decisions. It reports no original empirical result.