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Strategies & Market Trends : Options 201: Beyond Obi-Wan-Kenobe -- Ignore unavailable to you. Want to Upgrade?

To: tyc:> who wrote (738)	2/22/2003 10:55:14 PM
From: Dominick	Read Replies (1) \| Respond to of 1064

Try this: onechicago.com Register as a free user. Launch onechicago analytics. From there you can choose a historical volatility for 20,50,100 or 200 ma's for either 1,3 or 5year periods. Happy Trading, Dominick

To: tyc:> who wrote (738)	2/23/2003 12:09:21 PM
From: tyc:>	Read Replies (1) \| Respond to 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 !

To: tyc:> who wrote (738)	2/23/2003 3:47:36 PM
From: OX	Read Replies (2) \| Respond to of 1064

just stumbled onto your post tyke... intuitively it seems rather unlikely that 22% is the annualized HV given that in the past 50days, from simply eyeing the chart, your stock has traveled from 20-25 (roughly), which is in itself a 25% move. i think if u take the sqrt of the 50day volatility then *sqrt(252/50), you get an annualized HV much closer to reality. rather interesting using BB's as a basis for HV, can you cite a reference? and why not use 1sd vs 2sd (or 3sd)? McMillan's OSI has a good HV formula fwiw.