Where can I find historical option prices

That is how important historical volatility is as a metric for investors

The historical volatility indicates how much a value has fluctuated in the past. This is a good metric for private investors because they can see straight away how risky a given asset is. The lower this amount, the safer the stock is. With historical volatility, the deviation from the average and how much the value deviates from the average is calculated.

The historical volatility is particularly interesting for investors who are increasingly investing in stocks. Volatility is quite normal and belongs to every share and every value. The only decisive factor is how pronounced it is and how many price fluctuations an investor prefers.

Value-at-risk shows the probability of loss

Value at Risk is a measure of risk. The historical volatility is used for this. In this way, it can be calculated fairly precisely in which time frame a plant depot or parts of a plant depot could record a loss. Thanks to the historical volatility, investors have the opportunity to reduce or assess risks.

Mathematical model for historical volatility

The historical volatility can be calculated in different ways. With all three formulas, however, the time frame must always be defined first. As a rule, the volatility is recorded as annual volatility, i.e. as an annual change.

The interval over the period of time over which the fluctuation is to be calculated is t1 to t0.

An absolute change is usually used in interest calculations.

Volatility = value t1 - value t0

The relative change, on the other hand, is used for stocks and investment portfolios.

Volatility = (value t1 - value t0) / value t0

Historical volatility in the application

The model for relative change can thus be used to analyze historical volatility over longer periods of time. Only individual values ​​of the above formula have to be summarized. Specifically, this is how, for example, the fluctuation range per month or year of individual stocks is calculated. Low historical volatility is important for long-term investors.

Conversely, short-term traders can look specifically for very volatile values ​​and try to make money with the short-term movements.

With the respective values ​​at a certain point in time in relation to the mean values, this results in statistics that indicate how much a share deviates from its average price. This gives the investor information about the historical volatility and he can then select the stocks accordingly.

Implied volatility as a contrast to historical volatility

Unlike historical volatility, implied volatility is not recorded over a longer historical period, but as a market value. That means it is not about the fluctuations of the past. Rather, this key figure is used for options to show how much the base value is currently fluctuating. This in turn also has an impact on the price of options.

A high level of volatility leads to additional surcharges in the option price. That is why there are certain products in different market phases that investors should avoid. Implied volatility is one of those factors that can make an option attractive.

With the right strategy, money can be made in option transactions, but the risk of the writer should not be underestimated. > read more


© Verlag für die Deutsche Wirtschaft AG, all rights reserved