Calculating implied volatility can be difficult if you dont have a spreadsheet handy. Fortunately, many tools are
Question:
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.option-price.com contains option calculators that also compute implied volatility.
Using daily price data (available from finance.yahoo.com), calculate the annualized standard deviation of the daily percentage change in a stock price. Try calculating standard deviation using historical data covering
(a) 60 days,
(b) 120 days, and
(c) 180 days. For the same stock, use the option-price.com Web site to calculate implied volatility. The input for the risk-free rate may be found at www.bloomberg.com/markets/rates/index.html. Option price data can be retrieved from www.cboe.com.
Which sample period for calculating historical standard deviation seems most correlated with implied volatility?
Step by Step Answer:
ISE Investments
ISBN: 9781260571158
12th International Edition
Authors: Zvi Bodie, Alex Kane, Alan Marcus