hist volatility

Discussion in 'Options' started by kapw7, Oct 29, 2013.

  1. kapw7

    kapw7

    I have access to historical daily data from options and stock prices. I would like to get a picture of the cross section relating to the IV and historical volatility (HV). My data set doesn't contain adjusted prices (for dividends, splits etc). I can get these from Yahoo for individual names but it's not practical to do so for 3000+ names.

    Soooo... given that I don't need very accurate HV values for my purpose, do you suggest I can get away with using unadjusted prices but with a range based volatilty estimator (Parkinson, Yang-Zhang etc)?

    Let's say as an example that I am trying to calculate a IV/HV sort of indicator to sort stocks.
     
  2. Yes, should be adequate.