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I don't trade options [just use hv for NR4-type stock signals], but
would think that analysis should be on the underlying because [per a
friend that trades mispricing] most data vendors heavily prune the
option stream.
One highly-regarded site that analyzes option activity realtime,
http://hamzeianalytics.com/ ,
necessarily focuses in on the most active instruments.
My 16 came from Conners, who probably figured 256 was close enough for
government work.
Bob
-----Original Message-----
From: gosub283 [mailto:gosub283@xxxxxxxxx]
Sent: Friday, September 10, 2004 11:16 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Historical Volatility - OPTIONS
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
> Yahoo! Groups Links
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