How to Calculate One SD move?

RiddhiPD

Active Member
#1
From the Web I have got that to calculate 1 standard deviation move the formula is

= stock price x Implied volatility x sq.root of days to expiry
_______________________________________________
sq. root of 365 (or some times people arguing 252 instead of 365)

Now my question is

1.Is it 365 or 252?Which number should I use?

2. In NSE site there is Implied Volatility and Annualised Volatility.I am confused which is too plug in this equation.I couldn't find definition of annualised vola there.So please can somebody explain what they are with regard Indian context.most people are plugging IV number in this equation.is that correct?
 
#6
Please clear my doubt
For Nifty Index daily SD is as per formula
(Nifty Price)8305.25 X 19.105(Annualized Vol) = 158671.80(SA)

Multiply Sa by sqrt (1/252) for daily SD
AND
Multiply Sa by sqrt (20/252) for monthly SD.

158671.8 X 15.8745 (Square root of 252)

Is this correct?

Please clear.....
 

cinderblock

Well-Known Member
#7
Please clear my doubt
For Nifty Index daily SD is as per formula
(Nifty Price)8305.25 X 19.105(Annualized Vol) = 158671.80(SA)

Multiply Sa by sqrt (1/252) for daily SD
AND
Multiply Sa by sqrt (20/252) for monthly SD.

158671.8 X 15.8745 (Square root of 252)

Is this correct?

Please clear.....
8305 x 0.19105 = 1586.71
1586.71 x sqrt(1÷252) = ~99

Math ki class laga di shanivar rati
 
#10
Why 0.19105 instead of actual value 19.105. ?
Any logic behind it?

I will back test with nifty index n make some strategy.
Mostly vix use only FII n BIG players for options writting.

But my doubt isnot clear.....