By entering numbers into C10 to C16 you can weigh these periods and calculate your own "combo SV" which shows in C17.
By entering numbers into B19 and C19 you can calculate the statistical volatility for a specific number of days or months. Drawing the statistical volatility chart Defining the lookback period: click into A24 and select "3 month" from the dropdown menu.
Chart time frame: Enter the number 10 into B24, click into B25 and select "months" from the dropdown menu.
Click the button "draw chart".
The chart shows that GOOG started out with a statistical volatility in the 50% range, which has now declined to the low 20ies. Seems like the options' implied volatility does still retain some of that higher statistical volatility from the past. * Change B6 if you want to see a time frame that ends in the past. An interesting exercise, for example, is this: Change the underlying ticker to SPX on the position sheet (C27), go back to the SV tool and retrieve 30 months of underlying price data, ending on 12/31/1988. Then, with the appropriate settings in rows 24 and 25 draw the chart for the 6-month SV over 2 years. This is the famous 1987 stock market crash. --- Restore B6 by entering the formula =today() |
