volatility question

Discussion in 'Options' started by tradingcards, Nov 17, 2007.

  1. I have 2 different sources for historical volatility data. One is ivolatility.com and the other is Robert's Historical Stock volatilities.

    I want to know the volatility on GOOG right now. I get different numbers from the different sources. I will show below

    Roberts "1 month" volatility on goog is 16%
    ivolatility.com volatility on goog is 20.6% 1 month ago. right now ivolatility says the volatility on goog is 39%

    BTW, none of this is implied volatility.

    Obviously either they are feeding their data differently or I am reading their data wrong. Can someone help that knows more about this. Is Robert's "1 month" referring to this month or 1 month ago? what about 5 year? Does anyone have their own accurate source? What is Goog volatility right now? what about their 30 day Historical volatility 30 days ago?
  2. MTE


    If you want accurate historical volatility then just take historical prices and calculate it yourself, then you'll know for sure which volatility it is.
  3. rosy2


    i get 39.573311872984725

    I have program for sale that will give you this info. cheap
  4. Which "1 month"? October? 10-16..11-16? 5 years is impossible, Google was not traded 5 years ago! My datasource says 33.57% (819 days).
  5. segv


    Fire up Excel and head over to this site.
  6. gbos


    Depends on your inputs and your calculation method…
    If you use all data (819 closing prices) the answer is something like 33.7%
    If you use last month’s data only, the answer is something like 41.7%
    If you use an exponentially weighted moving average historical volatility with a weighting constant of 0.94 then the answer is something like 40.7%
    If you use a garch1,1 then the estimation for next day is something like 45%
    If you use Yang Zhang OHLC estimator with data from the last month the answer is something like 39.7%
    There are many freeware spreadsheets available to perform the calculation or you can make your own.
  7. HOBO


    People calculate historical volatilities across various time periods. Some even use variable time periods (dependent on the life span of each options contract).

    Here is some reading on Historical volatility cone:
  8. optionsXpress has a "volatility view" which shows stock's 30day historical volatility and the implied volatility.

    From my understanding...
    if the implied volatility is higher than the 30 day historical volatility then write calls/puts.

    if the 30 day historical volatility is higher than the implied volatility then buy calls/puts.