pa247
143 posts
msg #147474
- Ignore pa247 |
4/21/2019 4:25:49 PM
So I have these calculations that are not 100% but close enough for government work.
/*Determine Historical Volatility for stocks today,21 days,126 days and 252 days ago*/
set{HVtoday, Historical Volatility(30,1) 0 days ago }
set{HVmonth, Historical Volatility(30,1) 21 days ago }
set{HV6month, Historical Volatility(30,1) 126 days ago }
set{HVyear, Historical Volatility(30,1) 252 days ago }
set{Hvol,Historical Volatility(30,1) }
The next step is the formula for the IV Percentile, which is: for calculating a one-year IV percentile:
Number of trading days below current IV / 252
I dont know the formula for getting the daily HV for a one year period. Any suggestions will be appreciated.
thanks
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