How to calculate the 2-day Historical Volatility of SPX

D

Derrenoption

Hello!

I wonder how to calculate the 2-day Historical Volatility of SPX:
I found this formula below but are not sure how to accurate calculate the below. So I thought to ask to be sure. Anyone know how to calculate the below? :

The 2-day HV is calculated as:
STDEV [ LN (todaysclose / yesterdaysclose) : LN (yesterdaysclose / daybeforeyesterdaysclose)] * SQRT (251)

todaysclose: 100
yesterdaysclose: 99
daybeforeyesterdaysclose: 98
 
I am not able to do use STDEV in excel but I have tried to calculate this manually and I think the result should be:

=STDEV(LN(100/99):LN(99/98)) * SQRT(251)
= 0.00114307211478042

Is this the correct answer in excel?

Thanks
 
Youtube is your friend.
You want std. dev (as you've stated), not std. error (a sampling tool).
but to compute over a 2-observation "population" is way-bad small.
you would do much better to remember that the period you wish to look back has an infinite number of possible measurement ranges in it. Thus, rather than
2-days = 2-days
think about
2-days = 6.5+6.5 trading hours, or
= 26+26 trading quarter-hours, or
= 78+78 trading 5-minute candles......

Lastly, if you work in an ATR graph, your life will be better........
 
Jeff Augen has a book called "daytrading options" which has good examples on volatilities and diff methods of trading them as well.
 
I could see a STDDEV calculation on youtube so I beleive this should be correct:
=STDEV(LN(100/99):LN(99/98)) * SQRT(251)
= 0.00114307211478042

Yes 2 days might be not to much but I will play around and see how it could differ with other periods.
Thanks!
 
You must log in or register to reply here.
Back
Top