For some reason or another I can't seem to wrap my head around this equation, and was hoping someone here that is more mathematically inclined could possibly see where I am going wrong. I am trying to factor in the IV in my determination of a 1 standard deviation. Currently as it is being calculated it determines standard deviation without IV taken into consideration, but I am not quite sure how I would add to the calculation to account for say 32% IV . I am using the calculation in TradeStation so I have included how the function is formatted Breakdown of StandardDev Function StandardDev(Price, Length, DataType) My Current Calculations OneStdDev = StandardDev(Log(Close[1]/Close[2]), 20 ,2)*Close[1]; If OneStdDev > 0 then Spike = (Close-Close[1])/OneStdDev Else Spike = 0 ; Any suggestions ?
If you're calculating volatility of the asset then you don't need to factor in anything. You have the price series, the period over which you wanna calculate the volatility and that's it.
I think I figured out where my error was...I was trying to calculate Std Dev based on volatility and instead I was calculating volatility.