Tag Archives: volatility

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

how swap risk is calculated

How Swap Risk is Calculated

This blog on how swap risk is calculated is the conceptual view of how firms and CCP’s calculate the Initial Margin on Interest Rate Swaps.  While the numbers reflect a real at-market swap given the terms and conditions described they made vary widely from what your firm or clearinghouse requires. Thus this blog covers how the Independent Amount

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