Download software Tutorial videos
Subscription & data-feed pricing Class schedule


New account application Trading resources
Margin rates Stock & option commissions

Attention: Discussion forums are read-only for extended maintenance until further notice.
Welcome Guest, please sign in to participate in a discussion. Search | Active Topics |

Implied Volatility and Historical Volatility Rate this Topic:
Previous Topic · Next Topic Watch this topic · Print this topic ·
mjvdet13
Posted : Friday, February 3, 2017 10:38:41 PM
Registered User
Joined: 11/11/2014
Posts: 1

Sorry if this has been repeated but I've looked back a few pages to no luck. I'll make this quick. Would it be possible to get Implied Volume and Historical Volume indicators or is that out of the quuestion?

 

Thanks! 

 

Bruce_L
Posted : Monday, February 6, 2017 12:06:46 PM


Worden Trainer

Joined: 10/7/2004
Posts: 65,138

It is not possible to add Implied Volatility to your chart, but it is possible to plot Historical Volatility.

Historical Volatility (HV)

The formulas can be quite a bit shorter in TC2000 v17 than the formulas explored in the above topic for previous versions of TC2000.

Historical Volatility

1600 * ABS((SUM(LOG(C / C1) ^ 2, x) - LOG(C / Cx) ^ 2 / x) / x) ^ .5

Where x is the period of the Historical Volatility indicator.

HV Ratio

SQR(ABS((SUM(LOG(C / C1) ^ 2, n) - LOG(C / Cn) ^ 2 / n) / n)) / SQR(ABS((SUM(LOG(C / C1) ^ 2, d) - LOG(C / Cd) ^ 2 / d) / d))

Where n is the first period specified which is used for the historical volatility in the numerator.

Where d is the second period specified which is used for the historical volatility in the denominator.

So a 100 period Historical Volatility can be written as follows.

1600 * ABS((SUM(LOG(C / C1) ^ 2, 100) - LOG(C / C100) ^ 2 / 100) / 100) ^ .5

And an HV Ratio 6/100 can be written as follows.

SQR(ABS((SUM(LOG(C / C1) ^ 2, 6) - LOG(C / C6) ^ 2 / 6) / 6)) / SQR(ABS((SUM(LOG(C / C1) ^ 2, 100) - LOG(C / C100) ^ 2 / 100) / 100))



-Bruce
Personal Criteria Formulas
TC2000 Support Articles
Users browsing this topic
Guest-1

Forum Jump
You cannot post new topics in this forum.
You cannot reply to topics in this forum.
You cannot delete your posts in this forum.
You cannot edit your posts in this forum.
You cannot create polls in this forum.
You cannot vote in polls in this forum.