In comparative-sets, one is applying the historical volatility
It may help to segment the types of historical events that would likely bias a historical volatility
estimate (being applied forward) into four categories:
If volatility is random or path-dependent, and asset returns and volatilities are negatively correlated, then implied volatilities from option prices could be higher than the observed historical volatility
from the underlying asset.
For comparison, the security's one-month historical volatility
rests at 13.
The service includes a fully maintained security master; real time prices for listed securities as well as the provision of "value-added" data such as dividend projections, correlations, and historical volatility
for some 47,000 stocks around the world.
More specifically, the strategist is targeting a sluggish or range-bound stock with an historical volatility
level significantly lower than the implied volatility levels of its in-the-money options.
Compared to NOK's one-month historical volatility
of only 29%, the July 15 call is relatively pricey at the moment.
A number of factors determine whether implied volatilities are rising or declining, but a big component is historical volatility
This screen takes a stock's short-term historical volatility
and compares it to a longer-term measure of the stock's historical volatility
One place to look for those stocks that may be poised to make a fast, aggressive move is in those stocks whose historical volatility
is quite low.