Options 201: Beyond Obi-Wan-Kenobe Message Board

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Strategies & Market Trends : Options 201: Beyond Obi-Wan-Kenobe

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To: tyc:> who wrote (738)	2/23/2003 12:09:21 PM
From: tyc:>	Read Replies (1) of 1064

There's an error in my original posting. There are 252 trading days in the year. The calculation that provides the 2.245 is the square root of 252/50, (not 50/225). Sorry. Dominick, does your option calculator provide a two SD range? Calculate the value of a 3 month option using a strike price of 21.87 (the 50 day average), and a volatility of 22%. You will find that the two SD range almost exactly agrees with the range of the upper and lower Bollinger Bands. Does this not confirm that that the BB's are indeed displaying 22% historic volatility ? It seems to work !

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