Volatility screener

I apologize if I've asked this before (I can't remember if I have and Google didn't turn up anything, but...).

I'm looking for a stock screener that can screen on volatility (actual volatility, not beta). Anybody know of one?

Thanks,

-Will

Reply to
Will Trice
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FWIW, volatility is used for options trading, so when searching for this data, you may want to keep that in mind. Post if you find any better sites. JOE

Reply to
joetaxpayer

Thanks, Joe, I'll try these out.

-Will

Reply to
Will Trice

btw, what is the mathematical definition of volatility anyways? Is it average daily fluctuation in a stock's price over a year? Or are there different definitions?

Reply to
Bucky

The CBOE defines volatility "The annualized standard deviation of returns or, the annual stock price range". This lacks a complete mathematical definition, but the data offered there and the other site I posted offers numbers you can look at for yourself. Joe

Reply to
joetaxpayer

Historical volatility is usually calculated by computing the standard deviation of daily close-to-close log returns and then annualizing the number by multiplying by the square root of the number of trading days in a year, which is approximately sqrt(252) or about 16. So if the standard deviation of daily returns is 1%, the annualized volatility is 16%. There are more accurate ways of calculating volatility using daily open/high/low/close data, and still greater accuracy is obtainable using intraday data.

One can visit

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for more details.

Reply to
beliavsky

Thanks! I also found a similar explanation on wikipedia (why didn't I look there first?)

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Reply to
Bucky

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