Volatility articles

Calculating Other Types of Volatility

Calculating Other Types of Volatility

In a prior post we spoke about historical volatility using closing prices.  Called Close-to-Close (C2C) Volatility measures the standard deviation of daily price changes.  This blog takes us one step further and looks at how to calculate historical volatility as well as  the assets range volatility & overnight action. To review CLOSE-TO-CLOSE (C2C) Volatility, read

Historical Volatility

Historical Volatility Uses & Calculation

The three most common questions I get regarding historical volatility are: What is Historical Volatility? How do you calculate Historical Volatility? And what’s the best number of days to use? This article is about historical volatility in relation to trading options and not for risk management of an asset portfolio.  WHAT IS HISTORICAL VOLATILITY? Historical Volatility

Weighted Historical Volatility

Weighted Historical Volatility

June 5th, 2014 Historical Volatility describes the magnitude of price changes and uses the resulting stats to forecast the probability of specific price changes tomorrow (in the future).  Weighted Historical Volatility uses a similar approach but makes analyzing the past more flexible and perhaps more useful for your needs. Historical Volatility Historical volatility can be

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