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Why use option volatility (implied volatility) for stocks? If you check
out the Equis web site you will find several volatility studies.
"Historical Volatility Daily" and "Historical Volatility Weekly" might
be adaptable to your purpose.
http://www.equis.com/customer/formulas
Harvey Pearce, Victoria, B.C., Canada.
=====================================
Steven Russell wrote:
>
> I would like to clarify the volatility question which I posted on
> Friday since I got no response. If I can explain what I'm trying to
> do, then maybe some brave soul will venture a stab at an answer.
>
> What I am trying to do is to sort via the MS explorer, those stocks
> whose current volatility is low compared to their longer term
> volatility. I can easily plot the "option volatility" built in
> indicator. If I then take a 60 day moving average of this indicator,
> it is easy to see when the current volatility is low compared to the
> moving average.
>
> I would like to use this indicator in the MS explorer to sort the
> group of stocks that I follow, by how much the current volatility is
> below a 60 day moving average. The manual would lead me to believe
> that I should use the volo() function. It turns out that this
> function is not the same as the "option volatility" built-in
> indicator, however!
>
> I had planned to use something of the form ...
>
> mov(volo(),60,s) - volo()
>
> then just sort the results for the highest values.
>
> This doesn't work, because the volo() function returns a number that
> is completely different than the built-in indicator "option volatility".
>
> Does anyone know how I can build such a formula that is the same as
> the built-in option volatility indicator?
>
> If you do, PLEASE HELP!
>
> Thank you,
>
> Steven
>
>
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