I'm not familiar with ivolatility.com, but I would guess they are calculating an implied volatility based on closing SP option prices using an option pricing model like Black-Scholes.
Regards, David --- In amibroker@yahoogroups.com, Potato Soup <potatoso...@...> wrote: > > I'm trying to plot the 30 day historical volatility of the S&P 500, using the > following AFL on a daily chart with around 2 years of end of day prices for > the S&P 500: > > Plot(StDev(Close, 30),"Historical Volatility", colorOrange,styleLine); > > However when I look at the values, they appear to be a bit off to what I see > when I look online here: > > http://www.ivolatility.com/options.j?ticker=SPX:CBOE&R=1&period=12&chart=2&vct= > > For today they have 18.99, where as my chart shows 19.348. All my other > values going back further don't match their chart either. Any ideas, are they > calculating it differently than just a simple standard deviation? >
