Except that, the historical volatility
and implied volatility of currencies come from the BSG should be obtained as well.
This section offers a computation of the implied volatilities from near-the-money options (options in which the strike price is as close as possible to the price of the underlying asset) on the S&P 500 and a simple but frequently used measure of historical volatility
for each trading day over a six-year horizon, 1990 through 1995.
can be thought of as how much the stock has fluctuated in the recent past.
The theory is that the short-term historical volatility
reading should snap back in line with the longer-term reading potentially causing a sizeable move in the stock.
Beyond this standard 18-month view, clients have the ability to price any future call or put by using exponentially weighted historical volatility
or current implied volatility.
95% compared to the stock's one-month historical volatility
With the addition of option analytics, SectorEngine's real-time option display has been extended to include implied and historical volatility
, theoretical value, Delta, Gamma, Theta, and Vega.
However, compared to RIG's three-month historical volatility
of 51%, the in-the-money August 80 call is still relatively inexpensive at the moment.
These factors are tempered by the historical volatility
of Hermes' earnings.
Fitch IBCA stressed a hypothetical portfolio assuming multiples of historical volatility
for the targeted assets (performing and non-performing loans).