Anyone know the formula for actual volatility and standard deviation for stocks?

Discussion in 'Strategy Development' started by TradeWatcher, Jun 14, 2003.

  1. Does anyone know the formula for actual volatility for a specific stock. I think it is something like:

    SqRoot of 52 or 365 or 12 (depending on the length you want). That is then divided into the (Price of the Stock/Standard Deviation (STD)).

    ex. for daily Citigroup --- 19.1/(44.10/STD)

    I do not know what the is or where to find it for a specific stocks. I have looked on the WWW but am not seeing it.

    So I guess the real question is, assuming the formula is correct, is where can I find the formula for STD for specific stocks.
     
  2. I found a formula for historical volatility by doing a Yahoo search for the same. Unfortunately I do not remember the specific link I went to, but I also searched for Larry Connors at the same time. I wanted his formula. As far as I remeber, the formula determined actual volatility but then had variables of 252, etc, for number of trading days.

    Hope this helps.
     
  3. white17

    white17

    first you need the volatility of the stock, lets say it's 35.

    V=35. square root of 252=15.87 (thats for one day)


    V/15.87= 1 std dev for that day. Next I take that number times the opening print on the stock (50) that will give you a point or dollar value. Add AND subtract that value from the opening print to get the theortical extremes possible for one std dev for that particular day. Be sure to use the volatility number as a decimal. That is 35% becomes .35

    I have a spread sheet set up for this with all the formulae in the cells. Be glad to send it to you if you want it.

    example:

    .35/15.87=.022054 X 50=1.1027

    50 +/- 1.10 = 48.897 & 51.1027



    Sorry, I just re-read your post and see you were looking for vol rather than std. dev.
     
  4. "I have a spread sheet set up for this with all the formulae in the cells. Be glad to send it to you if you want it."

    I have the pivot formulas in excel let me know if this is what you are looking for?

    If your spreadsheet is different would you mind posting it here?
    Cheers
     
  5. white17

    white17

    Andrasnm: attached is my spreadsheet for the S&P; It is different than the one I mentioned above.


    Well I tried to post it but keep getting a fatal error / time out message
     
  6. First you calculate the continuously compounded daily return:

    ln(price today/price previous business day)

    Next use excel's stdev function and highlight the array of daily returns. This will result in the daily standard deviation.

    To translate it into a specified number of days, then for annual volatility (250 trading days), then multiply the daily standard deviation by the sqrt of 250.


    sharif
    sshakhshir@mindspring.com
     
  7. DaveN

    DaveN

    My apologies, as this is a cross post. I was replying to the other thread, and it was closed in favor of this one....

    Others have already answered the question, but what the heck....

    -------
    Repost:

    Yes, iVolatility is the site of choice for Historical Volatility. www.ivolatility.com

    The formula for HV30 is

    Std Dev( Ln(Close/Close[1]),30) * Sqrt(250)

    or the standard deviation over a 30 day period of the logarithm of the current day's close divided by the previous day's close times the square root of 250.

    The 30 day period can be changed to a 10 day period to get HV10, and you can choose a different number for days in a year...I use 250, but others count the weekends as well and use 360 or 365.

    For trading equities, I find HV useful in comparing a dollar normalized volatility of one stock to another in setting up pairs or determining my trade size, considering my risk preferences.