Black and Scholes Options Evaluation Message Board

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Strategies & Market Trends : Black and Scholes Options Evaluation

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To: Richard J. Byrd who wrote (23)	1/15/1997 8:00:00 AM
From: Harold Lanier	of 44

Richard, Historical Vol is calculated from historical price information. The formulas you read about in various books are all applied to the Open, high, low, close information that you have on the indexes. Implied volatility is not readily available for all indexs, but the implied volatility for the OEX is calculated and published as the VIX. (if you can't find it let me know privately at HLanierSPC@aol.com). BayOptions (www.BayOptions.com) is including a data base of implied volatility for most all indexes and stocks with the purchase of its new version of OptionSimulator. This software has a built in graphical study of Implied Put and Call Volatility and Historical volatility using the Close/Close method and the High/Low method, plus a weighted avarage of the two, a very unique feature. Harold

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