[amibroker] Re: Historical Volatility - OPTIONS

["gosub283" <gosub283@xxxxxxxxx>]

John and Bob,

Thanks very kindly for your help.
Very much appreciated.

Are you guys importing options data into
AmiBroker, or just using AB to analyze the underlying ?

Gosub


--- In amibroker@xxxxxxxxxxxxxxx, "john gibb" <jgibb1@xxxx> wrote:
> 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@xxxx>
> 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
> 
> 
> 
> 
> 
> Check AmiBroker web page at:
> http://www.amibroker.com/
> 
> Check group FAQ at: 
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
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