Question
In: Finance
The volatility of a share price affects the options price, the higher the volatility, the higher...
The volatility of a share price affects the options price, the higher the volatility, the higher is the options price. There are many ways of computing volatility, but a popular method is to find the coefficient of variation of daily closing stock prices for a year. Calculate the volatility of the following share prices using daily closing price data from 1 Jan 2019 to 31 Dec 2019 in ASX from Yahoo Finance.
BHP (BHP Group Limited)
CSL (CSL Limited)
CBA (Commonwealth Bank Limited)
MYR (Myer Holdings Limited)
(Please do not write equations in the solution. Embed Excel screenshots in your answers so that the marker can identify the procedures you have adopted to find volatility. Express volatility as %).
Solutions
Expert Solution
B H Deviation of Square of deviations of the stock 0.41 -2.38% -3.66% 0.00% 0.395 0.00% B -0.09% 1.18% -2.59% -1.25% -1.34% 0 1 2 3 4 5 L6 7 2.51% -1.35% -1.27% -1.34% 0 1 2 2-Jan-191 3-Jan-19 4-Jan-19 7-Jan-19 8-Jan-191 9-Jan-19 10-Jan-19 11-Jan-191 14-Jan-191 15-Jan-191 16-Jan-191 17-Jan-19 18-Jan-19 21-Jan-191 22-Jan-191 23-Jan-191 24-Jan-191 25-Jan-191 29-Jan-19 30-Jan-19 31-Jan-191 1-Feb-191 4-Feb-19 5-Feb-19 6-Feb-191 7-Feb-19 8-Feb-19 11-Feb-19 12-Feb-191 13-Feb-19 14-Feb-19 15-Feb-19 18-Feb-191 19-Feb-19 20-Feb-19 21-Feb-191 22-Feb-19 25-Feb-19 26-Feb-19 27-Feb-191 28-Feb-19 -1.40% -1.42% -1.33% -4 -5 1.35% -2.75% -1.46% 0.37 0.00% -0.09% -0.09% 28 9 0 1 2 13 34 35 36 $7 18 19 10 11 12 0.375 2.65% 0.00% -0.09% 1.28% -0.09% 0.00% 2.70% -2.72% 3.97% 0.37 0.385 0.385 0.395 14 2.60% 3.80% 3.71% 2.11% 2.20% 2.15% 1.05% -0.09% 8.33% 0.56 7.61% -9.01% 17 18 19 50 51 52 53 54 55 56 57 58 59 50 51 52 53 4-Mar-191 5-Mar-19 6-Mar-19 7-Mar-191 8-Mar-19 11-Mar-191 12-Mar-19 13-Mar-191 14-Mar-19 15-Mar-19 18-Mar-19 19-Mar-19 20-Mar-19 21-Mar-19 22-Mar-19 25-Mar-19 26-Mar-19 27-Mar-19 28-Mar-19 29-Mar-19 1.75% 2.70% -0.09% 4.30% 5.80% -8.82% -8.73% 0.61 0.62 0.595 5.17% 1.64% 2-Apr-19 4.12% 0.64 3.23% 3.14% 4.62% 4.53% 0.7 2.17% -0.71% -1.43% -0.80% 2.90% 2.11% 0.705 0.715 -2.84% 1.33% -2.88% -2.80% 2.07% 0.69 -2.82% -0.09% 4-Apr-191 5-Apr-19 8-Apr-19 9-Apr-19 21 10-Apr-19 2 11-Apr-19 73 12-Apr-19 74 15-Apr-19 25 16-Apr-19 26 17-Apr-19 27 18-Apr-191 78 23-Apr-19 79 24-Apr-19 B0 26-Apr-19 31 29-Apr-191 32 30-Apr-19 1-May-19 34 2-May-19 35 3-May-19 36 6-May-19 37 7-May-19 38 8-May-19 39 9-May-19 20 10-May-19 21 13-May-19 22 14-May-19 23 15-May-19 34 16-May-19 25 17-May-19 26 20-May-19 27 21-May-19 28 22-May-19 29 23-May-19 00 24-May-19 01 27-May-19 02 28-May-19 03 29-May-19 04 30-May-19 31-May-19
jeff jeffy answered 1 year agoRelated Solutions
The volatility of a share price affects the options price, the higher the volatility, the higher...
The volatility of a share price affects the options price, the
higher the volatility, the higher is the options price. There are
many ways of computing volatility, but a popular method is to find
the coefficient of variation of daily closing stock prices for a
year. Calculate the volatility of the following share prices using
daily closing price data from 1 Jan 2019 to 31 Dec 2019 in ASX from
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