Has anyone read Natenberg's Option volatility & pricing? He talks about defining a volatility number associated with a stock as a one standard deviation price change, in percent, at the end of a one-year period. He says, "suppose a stock is currently trading at 100 and has a volatility of 20%." How did he get 20% as the stock's volatility? Is 20% the distance from the 52 week low to the 52 week high? Or is 20% the difference in price from exactly one year ago? please help. thank you
He writes: "Suppose...". It's an example. He jsut made up that number. Volatility is measured by standard deviation on an annual basis. Standard deviation is a statistical measure, which measures the distribution of returns around the mean.