Robert's Historical Stock Volatilities – Robert’s will produce a report that looks something like the following table for Intel Corp. The link to Robert’s webpage is: http://www.intrepid.com/~robertl/stock-vols1.html.
|
Ticker |
1 Month |
2 Month |
3 Month |
6 Month |
9 Month |
1 Year |
2 Year |
3 Year |
4 Year |
5 Year |
|
INTC |
32.03% |
27.95% |
28.32% |
33.74% |
30.90% |
30.67% |
34.13% |
46.46% |
51.06% |
62.57% |
Obviously, there are many possible answers for a given
stock’s volatility, depending on your observation window. The situation is complicated by the fact that
options typically incorporate investor’s beliefs about the underlying stock’s
expected volatility. If you believe that
a stock’s returns will be less volatile than they have been historically, then
the value of options on that underlying stock will be consequently less valuable. You can get a sense for what other investors
believe the stock’s expected volatility will be by looking at the volatility
implied by current option prices on that stock.
Even there, beware that implied volatility is generally not constant
across all strike prices and expiration dates - you must still use your own
judgment to interpret the implied volatilities observed.