Finding Annualized Volatility for Black Scholes Option Pricing?

ajacobson said:
Many of the public companies that still grant options use consultant benefit managers like AON(The old Hewitt) or Watson and both have sunk a bunch of change into pricing the longer stuff and often the two of them don't agree.
It's also why many PCs do restricted stock today instead of options. The options are a bitch to value and report. The original BS work was actually entitled something like valuing contingent corporate liabilities and the work was done relating to pricing farm equipment. An option by any name - still an option.
AON used to have a group to make a market in these.
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Never heard of a Pubco having to outsource the annualized volatility calculation for Black Scholes to AON or Watson.

I prefer options to restricted stock. 4 month hold periods aren't an issue but nothing beats a shit load of at the money 5-year options.

Though restricted stock + warrants is a nice mix of both and Flow faster to my bank account.
 
Fain said:
Was hoping for a quick easy reference tool to find the annualized volatility and plug that into the Black Scholes formula.

Will send my symbols to an institutional trader who's a buddy of mine. He offered to calculate for me.
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use the visor to read the value of hv.
 
"Never heard of a Pubco having to outsource the annualized volatility calculation for Black Scholes to AON or Watson.

I prefer options to restricted stock. 4 month hold periods aren't an issue but nothing beats a shit load of at the money 5-year options.

Though restricted stock + warrants is a nice mix of both and Flow faster to my bank account."

What you prefer and what the IRS is allowing are two very different things. You are saying your firm(s) didn't use a benefits consultant?

Beginning to suspect your story.
 
ajacobson said:
"Never heard of a Pubco having to outsource the annualized volatility calculation for Black Scholes to AON or Watson.

I prefer options to restricted stock. 4 month hold periods aren't an issue but nothing beats a shit load of at the money 5-year options.

Though restricted stock + warrants is a nice mix of both and Flow faster to my bank account."

What you prefer and what the IRS is allowing are two very different things. You are saying your firm(s) didn't use a benefits consultant?

Beginning to suspect your story.
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What story? That consultants get options? I'm based on Canada and deal mostly only with Canadian Pubcos.

I never mentioned Taxation once.

what your suggesting doesn't make sense. Why would a company go through the expense of hiring this "benefits consultant"? If you think thousands of pubcos are hiring a benefits consultant to figure out volatility number for their stock, then you're on crack.
 
ajacobson said:
Filings in Canada are still public and searchable. Your story doesn't fit. Do the search yourself.
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Why comment on the thread if you don't know the answer or can't help? It just clutters it up. I'm not a quant or desire to be and doesn't see anything in filings that give you the inputs they used. Filings just show Black Scholes formula was used.

Like I said before, I will bug a buddy with the knowledge. I just attempted to use a forum first.

Thank you and have a nice day sir.
 
ZBZB said:
Set hv to 365 days or whatever length you want.
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Okay. Thanks man I get it in now. It was just a confusing layout because when you said "Add Study" it was actually indicator. And HV 365, i just assumed the number is percentage and input field was relating to days.

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I really appreciate it!!!
 
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