Hello! I wonder how to calculate the 2-day Historical Volatility of SPX: I found this formula below but are not sure how to accurate calculate the below. So I thought to ask to be sure. Anyone know how to calculate the below? : The 2-day HV is calculated as: STDEV [ LN (todaysclose / yesterdaysclose) : LN (yesterdaysclose / daybeforeyesterdaysclose)] * SQRT (251) todaysclose: 100 yesterdaysclose: 99 daybeforeyesterdaysclose: 98
I am not able to do use STDEV in excel but I have tried to calculate this manually and I think the result should be: =STDEV(LN(100/99):LN(99/98)) * SQRT(251) = 0.00114307211478042 Is this the correct answer in excel? Thanks
Youtube is your friend. You want std. dev (as you've stated), not std. error (a sampling tool). but to compute over a 2-observation "population" is way-bad small. you would do much better to remember that the period you wish to look back has an infinite number of possible measurement ranges in it. Thus, rather than 2-days = 2-days think about 2-days = 6.5+6.5 trading hours, or = 26+26 trading quarter-hours, or = 78+78 trading 5-minute candles...... Lastly, if you work in an ATR graph, your life will be better........
Jeff Augen has a book called "daytrading options" which has good examples on volatilities and diff methods of trading them as well.
I could see a STDDEV calculation on youtube so I beleive this should be correct: =STDEV(LN(100/99):LN(99/98)) * SQRT(251) = 0.00114307211478042 Yes 2 days might be not to much but I will play around and see how it could differ with other periods. Thanks!