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Strategies & Market Trends : Options
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To: rkral who wrote (1127)1/18/2000 5:59:00 PM
From: Tom K.  Read Replies (3) of 8096
 
...Could you tell me how to obtain the Standard Deviation (the sigma of the normal distribution) from implied volatility data?...

I'm not a statistics whiz, however, when I wrote a program several years ago to automate Black Scholes, the volatility was defined as the annualized standard deviation.

So.... if the volatility is 20% on a $50 stock, the SD would be $10. To get it to less than an annual period like daily, divide by the square root of the time period (252(?) trading days). Gad, I hope my memory is right..... can anyone else confirm?

Tom
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