Volatility screener

Thanks, Joe, I'll try these out.

-Will

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?

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

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

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