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  1. andrewk4

    1,368 Posts.

    Ive built a spreadsheet in excel that queries a website and imports option prices every 15mins. I can chart these price movements against BlackScholes pricing model. Everything works fine, as long as you dont question whether volatility should be 25 or 30% for the underlying , in BSOPM.
    The books say historic volatility for the parent stock is defined as "the square root of the annualised variance", and that I should first find the "arithmatic mean, m, of the daily compounded return determined over, say, 30 days".
    Any ideas as to how to get the historic vol. for a blue chip/parent company?
    Can I query some website?
    Obviously, I dont want the IMPLIED VOL in the AFR!

    Has someone written a formula for h.vol in excel or even metastock? Ive seen the formulas for historic vol, but they are beyond my level of excel use. I dont know how to enter Greeks on an English keyboard....
    I was happy just to understand BlackScholes, considering I never went to uni.

    happy hunting, boys

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