Historical Volatility

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Historical Volatility

To view the Historical Volatility window, open the Edit menu and select the Historical Volatility command:

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Historical Volatility (also known as Statistical Volatility) calculates the average price movement of an underlying stock over a specified period of time.

It does this by determining the range of stock price movement within a set period and using this to establish a mid point. The percentage of movement from the midpoint to either extreme gives the historical volatility of the stock price within that period.

Your SOFTWARE's volatility chart can display a number of Historical Volatility plots, each using a different calculation period.

Historical Volatility Parameters

The Historical Volatiitly Parameters dialog box will be opened when Historical Volatility is selected from the Edit menu.

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The Periods and number of Trading Days to be used in the calculation of Historical Volatilty can be set in this dialog.

When calculating Historical Volatility, the range of stock price movement within a set Period is determined and used to establish a mid-point. Mid-points for the other periods that can be calculated within the number of Trading Days are then determined and then all are averaged.

Users can set the length of the Periods, and the number of Trading Days is set at 252. 

Note: Setting parameters in this dialog will be set globally throughout Your SOFTWARE.

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