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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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