Historical Volatility

Discussion in 'Options' started by TM1982, Jul 21, 2009.

  1. TM1982


    Guys, is there any serious legit third party provider of historical volatility?
  2. spindr0


    I don't know how accurate it is or if it's what you are seeking but McMillan puts out a list of 20/25/100 day HV for optionable underlyings every Saturday.

    OTOH, if you're interested in individual issues and specific time periods, you can set up an Excel spreadsheet to do the dirty work.
  3. I don't know if you trade from home or from a firm but... well the best thing is of course if you would have access to a bloomberg terminal. The info is easily available there.
  4. Its not all that hard to set up a spread sheet to do your HV calc and set your own parameters
  5. To SPIN and xlfat:

    Does Excel have a built in statistical formula for doing the calculations?

    If yes, what does Excel call it.

  6. spindr0


    Hey Mark,

    Check out STDEV

    You can do a search on "standard deviation" in the HELP feature in Excel to get a list of formulas as well as the syntax required for their usage. Use the quotes to limit the results to both words not either word.
  7. yikes std deviation.
    never even considered that.


  8. wayneL


    Almost any standard charting package will do HV, or be capable of it anyway.

    www.quote.com standard charts also plot HV if you want it to.
  9. tyrian


    I've put together a spreadsheet that

    1. downloads financial data from Yahoo Finance (although you could modify it for any data provider). You give it a ticker symbol and two dates
    2. calculate and plots the historical volatility. You give it a time window

    It's available at http://investexcel.net/1979/calculate-historical-volatility-excel/
  10. optraderx



    they will give you access via API (if that's what u want). all data served on the cloud. great service.
    #10     Mar 19, 2012