|
PureBytes Links
Trading Reference Links
|
I have continued to pursue the disparities in
histvol values between Metastock and the
PMPublishing web page. Following is the reponse I
received from PM:
Subject: re: vols
Date: Wed, 28 Oct 1998 08:52:32 EST
From: Pmpub001@xxxxxxx
To: pschmi02@xxxxxxxxxxx
Mr. Schmitz,
You wrote asking what number of days our options
models use. The answer is 365. I don't know why
our vols would be different from metastock,
perhaps they use a different model (we use the
american quadratic).
Thanks for the interest.
Paul Hudson
PMpublishing
I am not acquainted with the "American quadratic"
method of calculating histvol. Does metastock use
this method or some other.
Best regards,
Philip Schmitz
Equis Support wrote:
> Find out from PM options how many time periods
> they use in the
> calculation of a year. This formula uses 365
> days. Others use
> different values. No one seems to agree on just
> how many time periods should be used. Natenberg
> believes 365 time periods (a calendar year).
> Others believe you use trading days. The
> differences can be significant.
>
> Equis Support
> http://www.equis.com/
> http://www.equis.com/customer/support/
> Please include previous email answers and
> questions in your response.
>
> Equis and MetaStock and MetaStock Professional
> are registered trademarks
> of Equis International. Achelis Binary Wave,
> The DownLoader, Expert
> Advisor, OptionScope, Quotecenter, and Smart
> Charts are trademarks of
> Equis International.
>
> -----Original Message-----
> From: Philip Schmitz
> [mailto:pschmi02@xxxxxxxxxxx]
> Sent: Monday, October 26, 1998 10:33 AM
> To: metastock@xxxxxxxxxxxxx
> Subject: Hisvol disparities
>
> I have compared historic volatility as
> calculated
> by the Metastock formula
>
> Std(Log(C/Ref(C,-1)), X)*Sqrt(365)*100
>
> with the values published at another source and
> found disparities. Can anyone offer an
> explanation? Examples follow:
>
> Differences in the March beans are pronounced:
>
> MS hisvol(7) = 10.46
> PMoptions page ?1-week? hisvol = 8.44
>
> MS hisvol(90) = 26.76
> PMoptionspage ?3-month? hisvol = 16.52
>
> Differences in December CD are less striking:
>
> MS hisvol(7) = 4.02
> PMoptions page ?1-week? hisvol = 4.26
>
> MS hisvol(90) = 10.78
> PMoptions page ?3-month? hisvol = 11.17
>
> An email inquiry to the PMoptions page has not
> been answered.
>
> . . . while we?re at it, does anybody know of
> other free sources for hisvol on the web?
>
> Philip
|