How to measure volatility between SPY and DIA

Discussion in 'Technical Analysis' started by beer money, Apr 19, 2008.

  1. How would you suggest to measure the volatility of SPY and DIA and compare changes in the two?
  2. rosy2


    you could
    1)look at realized historical volatility over the same time frame

    2)look at ATM implied vols

    3) GARCH or stochastic vol studies

    i am sure there's more
  3. Average True Range

    Consider looking at the average true range (pick your time frames, I use 42 days 252 days and 1008 days)
    as a percent of previous day's close and establish a ratio of the two.

  4. DIA
  5. SPY