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Historical Volatility |
Also found in: Medical, Legal, Encyclopedia, Wikipedia, Hutchinson | 0.01 sec. |
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Historical volatility Fluctuations estimated from a historical time series. Historical Volatility A measure of a security's stability over a given period of time. While there are various ways to calculate it, the most common is to compute the average deviation from the average price over the period of time one wishes to measure. The historical volatility is often compared to the implied volatility to determine if a security is overvalued or undervalued. Generally, securities with a higher historical volatility carry more risk. See also: Volatility. How to thank TFD for its existence? Tell a friend about us, add a link to this page, add the site to iGoogle, or visit webmaster's page for free fun content. |
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Traditionally, most companies have calculated historical volatility values and used these (without much additional analysis) in their estimation of option fair value. Attracted by the low historical volatility of the apartment market, a flood of riskaverse capital has flowed to the sector, driving down cap rates for acquisitions and new development. These options are richly priced, to say the least; one-month historical volatility on JBLU options stands at 37. |
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