Calculating implied volatility can be difficult if you dont have a spreadsheet handy. Fortunately, many tools are

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Calculating implied volatility can be difficult if you don’t have a spreadsheet handy. Fortunately, many tools are available on the web to perform the calculation; for example, www.optionprice.com contains several option calculators, including one for implied volatility.

Using daily price data, calculate the annualized standard deviation of the daily percentage change in a stock price. For the same stock, use the option-price.com website to calculate the implied volatility. Option price data can be retrieved from www.cboe.com (look for link to Quote & Data). 

Recalculate the standard deviation using three months, six months, and nine months of daily data. Which of the calculations most closely approximates implied volatility? What time frame does the market seem to use for assessing stock price volatility?  

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Related Book For  book-img-for-question

ISE Essentials Of Investments

ISBN: 9781265450090

12th International Edition

Authors: Zvi Bodie, Alex Kane, Alan Marcus

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