I wrote the options folks over on The Street.com, and Dan Colarruso replied as you did by directing me to McMillan's site. As I noted before, this won't work. :-(
I'll state again what I need as briefly as possible, and then below append the e-mail I sent him for fuller color for anyone who gives a hoot. Save your eyes- you don't need to read it, although it may include a few interesting links I found. :-)
QUESTION
Where can I get the following information on the web (hopefully for free): the one year historical volatility for stock XYZ on date aa/bb/cc.
I need this info in order to use Black-Scholes to discover the present value at time of grant of various options that make up part of a CEO's total compensation package. Such present values are seldom given in SEC proxy filings and must be computed.
Thanks for all the interest you've shown, Patrick.
Anaxagoras
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The e-mail I sent:
Recent research indicates that companies that give "poor" pay packages to their CEOs tend to generate poor shareholder returns. One criterion of "poor" is a compensation package that is way out of line with those offered by company peers. Hence, I'm learning how to size up an executive's Total Direct Compensation by totaling some figures found in a company's annual proxy, that ol' SEC filing known as DEF 14A. Most of this is straightforward work, except for pinning a value on certain stock option grants. As we know, such grants are often a huge chunk of the package, particularly with tech companies. Now, it is typical to evaluate these option grants by using the Black-Scholes pricing model to come up with a present value at time of grant. With all of the free option pricing calculators available on the web (see numa.com it's easy to come up with this value once you have the proper inputs. My problem is finding some (free) sources for some of those inputs
Suppose in reading the filing you note that on December 11, 1998 the CEO of company XYZ was granted an at-the-money 10-year option on 800,000 shares with a strike of $15. What's the present day value of that option at the time of grant? Certain of the inputs for the Black-Scholes pricing model can be instantly gleaned from the filing (e.g. strike, life of option, stock price at time of grant, perhaps dividend rate), but the two remaining components, the risk-free interest rate of an appropriate security and volatility of the underlying, are tricky.
Since the mega-option grants I'm trying to price usually have a 10 year life, the appropriate security for me to look at is a 10 year Treasury, and what I want to find out is the interest rate of such a security at the time of the option grant. It turns out that the web site for the Board of Governors of the Federal Reserve System has this info and more:
bog.frb.fed.us
By going here I can find that the interest rate for a 10 year Treasury on December 11, 1998 was 4.61%. Great source!
Now, the final thing I need to plug into my web calculator is the historical volatility of the underlying. There are several sites that will give this figure as it currently stands (e.g. Edgar Online at edgar-online.com. But for my needs this won't do because I'm interested in the value of an option at the time it was granted (on 12/11/98) and not how it is currently valued (on 3/25/99).
Some sites like the CBOE have limited relevant data (http://www.cboe.com/search/Search.asp?q1=historical+volatility&DisplayText=&Boolean=PHRASE&ct=CBOE&Finish.x=40&Finish.y=22), but this isn't exactly what I want. First, I'm looking for a volatility figure that's based on a year, and not 30 days like the CBOE figures, because the stocks I'm looking at generally have significantly different volatility figures month-to-month. Second, the CBOE data is limited to optionable stocks, but many of the stocks I'm looking at do not have regularly traded, exchange listed options.
Now, if there's no other way to get this data for free, you could create a spreadsheet and download a year's worth of stock prices for the relevant time period and crunch out a figure. But not only am I cheap, I'm also lazy. So do you folks know of any place where I can get these 1 year historical volatility figures for any given date (in the past couple years)? And, if not for free, then for just a little bit of money? |
