Changes have just been made throughout the site to the number of days that are used to calculate historical volatility.
- The 1-month lookback period now uses data from the 20 most recent trading days (HV20) instead of 21
- The 3-month lookback period now uses data from the 60 most recent trading days (HV60) instead of 63
The changes bring these metrics into line with what most traders are familiar with.
Notice: Update To Historical Volatility Calculations
By
Jay Wolberg
Posted on:
5/20/2013 08:31:00 PM