1/ You can't "calculate" IV from stock price data, you can only calculate IV from the current option price using BSOPM or similar. What your formula above is calculating is HV. I have found the standard HV calculation as per your formula above fairly useless on Oz options in that as you notice, it bear no relation to IVs.
Originally Posted by bingk6
FWIW I have used the following HV formula on Oz stocks and works pretty well.
in metamumbojumbo code:
See this thread for discussion: http://www.aussiestockforums.com/for...ht=exponential
long:= (StDev(log(C/Ref(C,-1)),100) * sqrt(252))*100;
short:= (StDev(log(C/Ref(C,-1)),10) * sqrt(252))*100;
x1:= short - Ref(long,-1);
x2:= (x1* (2 / (10+1) ) ) + Ref(long,-1);
As far as the ASX sites calculations, nobody seems to be able to work them out... I think they are seriously lagging. lol