How is historical volatility calculated?

luketheduke

New member
From TD Ameritrade.com: "Historical vol is based on price changes for a stock or index over a period of time. That time can be a year, 10 days, or any time period. It doesn’t change for a given set of data, because a stock’s past price changes are what they are. "


Q: What is the period of time??? It's different for every stock? Thanks for your help.
 
I believe the default for ThinkScript is 20 days or periods. You can change that by clicking on the scroll symbol next to the function or by clicking on the asterisk if you've put it into a chart. The default for the square root calculation is 252 annual trading days.

I wish there were a list somewhere of what the various possible modifiers are for a function. I know you can modify various functions but I don't know how or which ones or in which ways. I'm used to Metastock code where they make it clear where you can add modifiers in sequence in parentheses behind anyone of their functions. I find ThinkScript incredibly inscrutable and difficult so far but hopefully that will change with time.
 
How does one illustrate volatility?

I know there is a TOS study for IV, but what exactly is that showing you?

I guess the real question, is how do you see the movement of an option that rises or falls without the stock price moving?

What are some techniques you all use, if so, why?

Thank you for your time!
 
@autoloader Yeah that all makes sense, I agree. Thank you

@ProfessorAR15 Not 100% if this is the answer, but it sounds like what you're getting at is explained by the greeks. TD has a really good video on the greeks just search TD ameritrade greeks and it will explain how the price of the option is calculated.

 

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