Expected Volatility

ASC 718 Standard

Volatility is a measure of the amount by which a financial variable, such as share price, has fluctuated (historical volatility) or is expected to fluctuate (expected volatility) during a period? Option pricing models require expected volatility as an assumption because an option?s value is dependent on potential share returns over the option’s term? This Statement does not specify a method of estimating expected volatility; rather, paragraph A32 provides a list of factors that should be considered in estimating expected volatility. An entity?s estimate of expected volatility should be reasonable and supportable.

ASC 718 paragraph A31

MITI Solution

Montgomery Investment Technology, Inc. (MITI) can guide you through the complex task of calculating historical and implied volatilities and blending these volatilities appropriately to determine a justifiable estimate of the company’s volatility over the expected term of the grant.

Expected Volatility Template

Peer Group Volatility

Implied Volatility

Historical Volatility Analysis

Historical Volatility Matrix

Historical Volatility Moving Average

Outlier Analysis

Volatility Estimation Process

Schedule your free live demo today to see how we can help you with the complex task of computing expected volatility.