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Historical Volatility
- Thread starter TM1982
- Start date
I don't know how accurate it is or if it's what you are seeking but McMillan puts out a list of 20/25/100 day HV for optionable underlyings every Saturday.
OTOH, if you're interested in individual issues and specific time periods, you can set up an Excel spreadsheet to do the dirty work.
OTOH, if you're interested in individual issues and specific time periods, you can set up an Excel spreadsheet to do the dirty work.
I don't know if you trade from home or from a firm but... well the best thing is of course if you would have access to a bloomberg terminal. The info is easily available there.
Quote from spindr0:
OTOH, if you're interested in individual issues and specific time periods, you can set up an Excel spreadsheet to do the dirty work.
To SPIN and xlfat:
Does Excel have a built in statistical formula for doing the calculations?
If yes, what does Excel call it.
Thanks
Mark
Hey Mark,Quote from dagnyt:
To SPIN and xlfat:
Does Excel have a built in statistical formula for doing the calculations? If yes, what does Excel call it.
Check out STDEV
You can do a search on "standard deviation" in the HELP feature in Excel to get a list of formulas as well as the syntax required for their usage. Use the quotes to limit the results to both words not either word.
Quote from spindr0:
Hey Mark,
Check out STDEV
You can do a search on "standard deviation" in the HELP feature in Excel to get a list of formulas as well as the syntax required for their usage. Use the quotes to limit the results to both words not either word.
yikes std deviation.
never even considered that.
thanks
Mark
Almost any standard charting package will do HV, or be capable of it anyway.
www.quote.com standard charts also plot HV if you want it to.
www.quote.com standard charts also plot HV if you want it to.
I've put together a spreadsheet that
1. downloads financial data from Yahoo Finance (although you could modify it for any data provider). You give it a ticker symbol and two dates
2. calculate and plots the historical volatility. You give it a time window
It's available at http://investexcel.net/1979/calculate-historical-volatility-excel/
1. downloads financial data from Yahoo Finance (although you could modify it for any data provider). You give it a ticker symbol and two dates
2. calculate and plots the historical volatility. You give it a time window
It's available at http://investexcel.net/1979/calculate-historical-volatility-excel/