How to measure volatility between SPY and DIA

[beer money]

How would you suggest to measure the volatility of SPY and DIA and compare changes in the two?

 

[rosy2]

you could
1)look at realized historical volatility over the same time frame

2)look at ATM implied vols

3) GARCH or stochastic vol studies

i am sure there's more

 

[NUTSNEAL]

Average True Range

Consider looking at the average true range (pick your time frames, I use 42 days 252 days and 1008 days)
as a percent of previous day's close and establish a ratio of the two.

Nutsneal

 

[NUTSNEAL]

DIA

 

[NUTSNEAL]

SPY