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Yes, the historical volatility does come from the futures price data
which I why I want it to read EOD data and provide that information. I
have a B/S model which I built in Excel however I'd like something a
little handier to use with a few more features ... probably something
between the freebies and the fully loaded options software which runs
off a live data feed.
Earl
----- Original Message -----
From: "THE DOCTOR" <droex@xxxxxxxxxxxx>
To: <eadamy@xxxxxxxxxx>
Cc: <realtraders@xxxxxxxxxxxxxxx>
Sent: Wednesday, January 12, 2000 2:08 PM
Subject: Re: [RT] Futures options calculator
> Earl,
>
> First you don't use an options calculator to compute historical
> volatilities. Historical vol. comes from the futures price data. It
is
> the standard deviation of daily price returns (without regard for
> direction) annualized. You can do that on a HP 12C. Just get your
price
> data and do a hi / lo range vs. the closing price and viola that is
> historical.
>
> To calculate an implied you need an options calculator. Futures
options
> use what is called the Black model .... which is simply an american
B/S
> model where you set dividends and interest to zero and price off of
the
> futures price. You can get a conventional B/S model a million
different
> places, but make certain you use an american model as all futures
options
> (as far as I know) are american. You can download free models all
over the
> net ...www.cboe.com or www.manticsoft.com just to name a few.
>
> Earl Adamy wrote:
>
> > Can some of you futures option traders recommend a simple/basic
option
> > calculator which I can use primarily for EOD and what if
calculations
> > for occasional hedging of futures positions? Ideally it would read
EOD
> > data to calculate historical volitilities. I've looked at some of
the
> > fancy stuff for quote.com QFeed and they seem to be overkill for
what I
> > need.
> >
> > Earl
>
>
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