V. 6:10 (362-362): Letters To S&C

V. 6:10 (362-362): Letters To S&C
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Letters To S&C

Volatility via Black-Scholes


I have all the S&C magazines. In the July 1988 issue, "Trading Clues from Options Volatility," David Caplan says he uses a "modified" Black-Scholes model. Is this model defined in any of the back issues of S&C? Can I get the formula from textbook in the local library? Would you explain it in letters to S&C in the next issue?


Los Angeles, CA

When I mentioned in the article that I use a "modified" Black-Scholes model, it could be more properly stated that the computer programs I rely on to compute volatility use this model. I do not have the formula they use. Additionally, what is most important is not the exact method used, but comparison of relative volatility levels. Any of the various volatility formulas will work equally well for us in this regard. óDavid Caplan

A vote for comparison


Regarding your July 1988 issue's offer on page 18 ("Quick-Scans"), yes please make a comparison for us between RTR's database (2 levels) and Telescan, but note that Telescan has come out with a new version during the past month that includes more indicators (including McClellan Oscillator).


Austin, TX

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