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Hi Gosub283,
You might check the CHM archives, but here is one:
<clip>
yr_days=Param("yr_days",260,260,365);
pd1=Param("pd1",6,6,200,2);
pd2=Param("pd2",100,6,200,2);
hv1=StDev(log(C/Ref(C,-1)),pd1) * sqrt(yr_days)*100;
Hv2=StDev(log(C/Ref(C,-1)),pd2) * sqrt(yr_days)*100;
Plot(Hv1,"", colorBlue, 1);
Plot(Hv2, "", colorOrange, 1);
Title="x-day HVs & ratios:
\n"+EncodeColor(colorBlue)+NumToStr(pd1,1.0)+"-Day:
"+WriteVal(hv1,1)+"%"+EncodeColor(colorOrange)+"\n"+NumToStr(pd2,1.0)+"-Day:
"+WriteVal(hv2,1)+"%"+EncodeColor(colorRed)+"\n"+NumToStr(pd1,1.0)+"-Day/"+NumToStr(pd2,1.0)+"-Day:
"+WriteVal(hv1/hv2,1.2);
GraphXSpace=3;
<clip>
HTH,
-john
----- Original Message -----
From: "gosub283" <gosub283@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, September 10, 2004 10:20 AM
Subject: [amibroker] Historical Volatility - OPTIONS
Hi,
Does anyone have some chart/indicator code
to display the "nDays historical volatility" for
a stock ?
I am experimenting with options trading.
When I look at the formula for 30 day
historical volatility, it is a bit beyond
my AFL abilities to program.
Anyone plotted this before.??
Much appreciated,
Gosub283
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