Look up here:

http://en.wikipedia.org/wiki/Volatility_%28finance%29 for the correct calculation.

In finance (and particularly the options market,we are looking for the standard deviation of the instrument's logarithmic returns in the specified time period (sigma).

Generally the number of trading days is used.

Thus if you happen to have amibroker or metamumbojumbo, the formula for annualized volatility as calculated by the last 20 trading days of movement is:

(StDev(log(C/Ref(C,-1)),20)*sqrt(256))*100
Therefore, you can calculate sigma for the remaining trading days in the life of an option (say 17 trading days):

(StDev(log(C/Ref(C,-1)),20)*sqrt(17))*100
Cheers

## Bookmarks