Historical Volatility

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

 

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.

 

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.

 

Its not all that hard to set up a spread sheet to do your HV calc and set your own parameters

 

To SPIN and xlfat:

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

If yes, what does Excel call it.

Thanks
Mark

 

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.

 

yikes std deviation.
never even considered that.

thanks

Mark

 

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.

 

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/

 

xignite.com

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