Software that charts standard deviation?

Discussion in 'Trading Software' started by optionsgirl, Apr 4, 2009.

  1. It seems difficult to find software that charts standard deviation according to options pricing theory. Volatility measured by Bollinger Bands is different due to the log of standard deviation. Jeff Augen's book proves that the difference is significant. Anyone knows of such software that lets me track and analyze price movements in pure standard deviation?
  2. excel/R/matlab will do this.
  3. 1) Who is Jeff Augen ?
    2) What is his book entitled ?
    3) exactly how does standard deviation analysis assist in option trading strategies ?
  4. I was afraid of this answer. I don't have extensive experience with programming yet and was looking for a shortcut until I can get a handle with R.

    Jeff Augen's book is called "The volatility edge in options trading". Standard deviation anaylsis is basically like price analysis in stocks --you try to find patterns and trends in volatility instead of prices.
  5. raker


    Neoticker has several standard deviation aplications for data series, one is a basic standard deviation and you can set the period another one allows you to set a variable length and the other allows you to measure the standard deviations across multiple days or weeks or whatever , what i mean by this is that if you wanted to know what the standard deviation at 10:33AM over the last say 10 days were for a particular data series it can do this . They also have another aplication called cone projection which is similar to what option traders use called probability cone which uses projections of standard deviation and measures prices moves . Hope this helps ...