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>Hi, I am currently trade option
>I am using the following volatility comparing short term and
long
>term volality to time when to buy and sell options.
>
>pds1=30;//Set your time period
>pds2=200;//Set your time period
>Graph0 = StDev(log(C/Ref(C,-1)),pds1)*sqrt(365)*100;
>Graph1 = StDev(log(C/Ref(C,-1)),pds2)*sqrt(365)*100;
>
>Does anyone has better indicator that they use to compare short/long
>term volatility?
>
>Cheers
>
>Henry
I trade options in Australia as well.
I use the following for the volatility
GraphXSpace=10;
Plot(StDev(log(C/Ref(C,-1)),20) * sqrt(260)*100, "20 days",
colorRed, styleThick);
Plot(StDev(log(C/Ref(C,-1)),30) * sqrt(260)*100, "30 days",
colorBrightGreen, styleThick);
Plot(StDev(log(C/Ref(C,-1)),90) * sqrt(260)*100, "90 days",
colorYellow, styleThick);
I use 20 and 30 days to compare short term as my option trades are
usually in options that have 4 to 6 weeks till expiry - 20 to 30
days.
I compare that to the 90 - which is what you want for HV.
One further point - we have 260 trading days in the year - hence my 260
compared to your 365 days.
I think you will find if you use my figures you will get HV measures that
accord with the official ones you get from the ASX - the HV values you
calculate would be way off and not much help in working out if your
shares/options are overvalued, etc.
Been using the setup successfully for ages - great help for option
trading and keeps me out of trades where volatility shifts might kill the
trade.
Bundy
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