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Strategies & Market Trends : Options
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To: Tom K. who wrote (1291)1/18/2000 7:27:00 PM
From: RoseCampion  Read Replies (1) of 8096
 
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, I think you are correct:

std_dev = annual_volatility x sqrt(days/365) x current_price

or more accurately:

std_dev = annual_volatility x sqrt(trading_days/252) x current_price

So what's the formula to get the second standard deviation during a particular time period? It can't be just 2x the first one, can it? (which would be below zero on the low end for most of the stocks I follow!)

-Rose-
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