In the Historical Analysis Page in Section 1 you can chart any of the following parameters for the stocks/indexes you specify in the Underlying column:
Spot
This plots the spot rate on each day in the defined period. You specify which spot rate to use by selecting one of the available return types from the menu that is displayed after selecting Spot from the Parameter dropdown list.
The available spot return types are as follows:
Close
Displays the closing spot rate on each historical date.
This is the spot rate recorded at the time at which the exchange on which the asset is traded closed on that date.
Open
Displays the opening spot rate on each historical date.
This is the spot rate recorded at the time at which the exchange on which the asset is traded opened on that date.
High
Displays the highest spot rate recorded on each historical date.
Low
Displays the lowest spot rate recorded on each historical date.
% of Spot
This plots the spot rate on each day in the defined period as a percentage of the spot rate recorded on the first day of the specified date range.
The % of Spot chart can be based on any of the four spot rates that can be selected for the Spot charts—Close, Open, High and Low.
Historical vol
This plots the historical volatility on each day in the defined period.
Historical (or realized) volatility is a measure of how volatile an underlying contract has been over the last <n> trading days (which you specify in the Term column). It is an annualized standard deviation of price changes expressed as a percentage.
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In all volatility calculations, it is assumed that there are 252 business days in a year. |
You must also choose to calculate the historical volatility based on one of the available return types as follows
Close-Close
The return used in the calculation of the historical volatility is determined for a given day according to the ratio of its closing value on that day to the closing value on the previous day (or another day within the last week as specified in the Frequency field).
Low-High
The return used in the calculation of the historical volatility is determined for a given day by taking the ratio of the highest spot rate and the lowest spot rate in the defined return period (where the return period is defined in the Frequency field).
Open-Close
The return used in the calculation of the historical volatility is determined for a given day according to the ratio of its closing value on that day to its opening value on that day (or another day within the last week as specified in the Frequency field).
Close-Open
The return used in the calculation of the historical volatility is determined for a given day according to the ratio of its opening value on that day to its closing value on the previous day (or another day within the last week as specified in the Frequency field).
Open-Open
The return used in the calculation of the historical volatility is determined for a given day according to the ratio of its opening value on that day to its opening value on the previous day (or another day within the last week as specified by the Frequency field).
For each time series of historical volatility, you must also specify the:
Specifies the return period (in terms of business days).
For example, if you specify, for a close-close chart, a frequency of 1 day, then the calculation of volatility for each day is based on the difference between the closing price on that day and the closing price on the previous business day. If you instead set the frequency to 2 days, then the calculation of volatility for each day will be based on the difference between the closing price on that day and the closing price on the date that is two business days prior to it.
If for a low-high chart you choose a frequency of 0 days, then the calculation is based on the highest and lowest spot rates on the given day only; if you set a frequency of 1 day, the calculation is based on the highest and lowest spot rates on the given day and the day prior to it; if you set the frequency to 2 days, the calculation is based on the highest and lowest spot rates on the given day and the 2 days prior to it, etc.
You can specify frequencies of 0d, 1d, 2d, 3d, 4d or 5d. Which of the frequency settings are available depends on the return type selected. For example, 0d cannot be set for close to close and open to open pricing types.
Defines the number of samples taken when calculating historical volatility, and is therefore the averaging period. For example, if you specify 1w, each point plotted on the chart will indicate how volatile the defined market data was over the week up to that date; if you specify 1y, each point plotted on the chart will indicate how volatile the defined market data was over the year up to that date. You set the term by selecting the supported values in the dropdown list.
Implied vol
This plots the implied volatility on each day in the defined period.
Implied volatility is a measure of how volatile the market price of the underlying contract will be over the next <n> trading days (which you specify in the Term column) if the spot on that date is at the defined strike.
By default you define the strike itself as an amount. To define it as a percentage of the end of day spot for that asset on the plotted date include a %.