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Direct MessagesDate/Time: Mon, 06 May 2024 07:17:53 +0000
Post From: Historical volatility
| [2018-07-18 04:05:35] |
| chart_warrior - Posts: 96 |
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Are you aware of how Thinkorswim calculates historical volatility? I know that many people use their 20 day historical volatility number which is different from what I get in Sierra using Volatility - Historical study. If you look at the attached screenshot you will see that as of yesterday close the ES futures 20 day historical volatility on TOS is 0.08759 and Sierra based on daily chart and 20 period I get about 10.74. Any idea why? Date Time Of Last Edit: 2018-07-18 04:06:18
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hv.JPG