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| Discuss F ad O volatility at the Futures within the Traderji.com - Discussion forum for Stocks Commodities & Forex; Can someone explain volatility in F and O?... |
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#1
2nd March 2006, 12:38 AM
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F ad O volatility
Can someone explain volatility in F and O?
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#2
2nd March 2006, 08:57 AM
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Re: F ad O volatility
Historical volatility is the volatility in stock returns that have already occured, implied volatility is the volatility that is expected by the market.
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#3
2nd March 2006, 09:01 AM
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Re: F ad O volatility
Thanks!In mathematical terms what are historical and implied volatility.
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#4
2nd March 2006, 09:27 AM
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Re: F ad O volatility
For historical volatility, calculate the daily return from the prices for a given time period. In Excel, use the STDEV() function on the daily returns over a certain time period to compute historical volatility.
For implied volatility, you need to use an option pricing model to back the implied volatility out, given all other parameters.
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#5
2nd March 2006, 06:50 PM
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Re: F ad O volatility
What =n do you use for implied volatility?Please elaborate.What option pricing model to use?
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#6
2nd March 2006, 07:00 PM
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Re: F ad O volatility
For implied volatility you do not need "n". Use the Black Scholes model.
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