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dominover

Calculating Option Prices (Volatility Component)

By dominover, in Beginners Forum

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dominover    10

dominover
Posted (edited)

As an input to calculating option prices one of the inputs is the underlying stock's historical volatility. What time frame do you use for this calculation of historical volatility? (how many days)?

 

Thanks

Edited by dominover

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SIUYA    11

SIUYA
Posted

there is no one answer.

many use 60-90 days as it 'reflects' the time frame of the options they are trading in.

 

folks often look at 'volatility cones' to gauge where they are relative to various historical time frames.

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