Volatility

[TheBramble]

I'm looking at volatility for EBAY yesterday. DTN quoting it at 27.03.

My understanding is that daily volatility = DAILY RANGE / LAST PRICE.

For EBAY yesterday (Friday, July 16th) the range was 84.24-80.04 = 4.20 and the closing price was 80.38. I can't get these figures to tally with the formula I'm using.

Help/comments appreciated.

 

[Grant]

Historic volatility

Tony,

Attached is a file that may help. Ignore the Aramaic and look at the table at the bottom.

I'll try to find the same for Excel to make life easier.

DTN - is this DTN IQ quotes? If so, where was the figure?. Initial reaction is an implied volatility figure but this does seem low for a US spiv stock.

 

[TheBramble]

Thanks Grant. Looks as complex as I thought iut should be!

However, DTN IQ Feed DDE links have a 'Hist Vol' field which is the 30-day average range / last price.

On that basis, the EBAY data needs some explanation.

 

[Grant]

Historic Volatility

Tony,

I really need to get a life.

Re Ebay's historic (30-day) vol. The close hv = 41%. However, for those who use hv it may also be useful to compare the figures derived from the open (to next open), high (to next high), low (to next low) and possibly average ((open+high+low+close)/4):

Open = 50%
High = 35%
Low = 45%
Close = 41%
Average = 38%

I don't know if any inference can be drawn from these figures. I would suggest it is changes that may be relevant.

This could be extended to include: high to (next day's) low, open to (next day's) close, high to (next...) low, low to (next...) high, etc. As to value, who knows.

Attached is a spreadsheet to help. To look at different time periods, adjust the terms in brackets immediately following =stdev(...).