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hello Max,
Interpretation (imho) is that a value below 0.5 indicates that the HV has
shrunken so much that the probability for an explosive price move is rising.
But it does not indicate which way this price move will occur.
The most explosive ones are in combination with an inside day or a day
where the difference between H and L is the smallest over the last 4 to 7
days.
I would use 255/262 instead of 365 days, as there are 255/262 trading days
in a year.
For more info try Linda Bradford Rascke's site: http://www.lbrgroup.com/
Trade well,
Frans
At 02:37 PM 8/4/2003 -0000, you wrote:
>Hi...
>The question relates comparing historical volatility with implied
>volatility in options.
>The formula below when entered into Metastock's Indicator builder
>allows me to gauge the 100 day historical volatility:
>
>Std(Log(C/Ref(C,-1)),100)*Sqrt(365)*100
>
>My question is. How exactly should I be reading this indicator?
>
>When I look at the indicator line do I take the most recent figure as
>the average of the last 100 days?
>
>How do other uses quantify historical volatility?
>
>Sorry if this is an inane question but I just don't get it.
>
>Kind regards
>
>M.
>
>
>
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