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Strategies & Market Trends : Options 201: Beyond Obi-Wan-Kenobe
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To: tyc:> who wrote (787)2/25/2003 9:25:03 PM
From: Dan Duchardt  Read Replies (2) of 1064
 
Right. The variance of the set of % price changes is the same regardless of the order of those elements in the set. But of course every % change involves two adjacent days, so there is no way you can rearrange the prices themselves and preserve the % changes. Rearranging the order of days will not change the average and BB calculation, but it will affect the % change variance and hence the volatility.
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