I'm pursuing a stock/option strategy & it requires the tracking of the 40-day historical volatility of a particular stock or index. Unfortunately, I know of noway in obtaining this information for free or at a reasonable price for that matter. Any suggestions from anyone would be greatly appreciated. I tried ivolatility.com however they don't track the 40-day historical volatility but do the 30-day & the 60-day time frames which won't work for my strategy. Thank you for any suggestions.
A charting program, like metastock, let's you chart volatility for any time frame. You can then search for when it reaches a certain number. What is the strategy?
Start a database of 30 day numbers and withing 10 days you will have your HV numbers. I would download them from i-volatility.com Good trading to you!
Or you could use excel. Just downlaod the prices from Yahoo and then create a column that is equal to (close today/close yesterday -1). Then do a stdev on the last 40 days of that number. Then multiply the stdev by sqrt(250). That will be your annualized historical vol over the last 40 days.
TC2005 (end of day version) is a pretty reasonably priced charting service, and it's possible to calculate HV by hand in that software. That way, you could scan the whole database for stocks with the volatility values that meet your needs.
Thanks for all of your responses. After downloading the data from yahoo.finance & plugging in the formulas you recommended I was finally able to get the 40-day historical volatility on individuals stocks. Thanks again!
Im curious, where does the 250 number come from? I want to calculate intraday historical volatility, not daily historical volatility. Thanks alot!
It should be 252 ( = number of trading days per year = 365 minus weekends and holidays). Unlike 250, 252 is divisible by 12, giving you an average of 21 trading days per month.