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Enron Mail |
I think Zimin has been hanging around the "phull volume" guy to much. I
think what he is trying to say is that you are calculating the historical vol correctly but to compare this (historical vol) to an implied vol from either the marketplace or as calculated by yourself, there will be an underlying assumption of a calendar year as the basis for option maturity. Therefore you would have to use the sqrt of 365.25 in order to make a comparison to the historical vol.
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