Historical Volatility

FAS123R Standard

Historical Volatility:

“Volatility of the share price, including changes in that volatility and possible mean reversion of that volatility, over the most recent period that is generally commensurate with (1) the contractual term of the option if a lattice model is being used to estimate fair value or (2) the expected term of the option if a closed-form model is being used.”

– FAS 123R paragraph A32

MITI Solution

Montgomery Investment Technology can calculate:

  • Historical volatility (for contractual and/or expected term)
  • Mean-Reverting volatility
  • Exponentially Weighted Moving Average
  • Annual Volatility
  • Horizon Volatility

Historical Volatility Matrix

Volatility Moving Average

Historical Volatility Analysis

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