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: Dominick who wrote (747)	2/23/2003 12:47:22 PM
From: tyc:>	Read Replies (3) of 1064

>>Ain't this fun? Yes it really is... providing we are not annoying other people with this kinda abstract discussion. How do the pro's calculate their historic volatility ? Do you agree that 50 day Bollinger bands do indeed indicate the volatility of closing stock prices over the past 50 days ? Do you agree that current BB's do indeed indicate a 22% annualised volatility was displayed over the past 50 days ? stockcharts.com[w,a]dacanyay[p][vc60][iLyb50,2.0]&pref=G I hope you can read this chart OK ? I have deleted all indicators except "BB width". You will notice that three times in the past two years the BB width has exceeded 10.... that means that two standard deviations equaled 5 (compared to 2 today). The last time this happened was in December. At that time the MA was about the same as it is today. So 5 is 24% of 21 and when you multiply THAT by 2.245 to annualise it you get 53% volatility. But such high volatility for a fifty-day period has apparently occurred only three times in two years. Granted the BB width is very narrow right now.

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