Daily Volatility

Below is a collection of graphs showing daily volatility for 50 stocks and ETFs traded on U.S. exchanges.  Most of the graphs have data beginning in July of 2007; the last data date is February 15, 2008.  Only raw minute by minute intraday price changes were used for the calculation of gamma and the closing price graph has the last price of the the day.  Two stocks in the series had two for one share splits (CMI, D).  The prices were not adjusted; and it can be seen that the one extreme return did not much affect the gamma calculation in these series.  In general the graphs show the same cyclic pattern of rising and falling volatility of a broad market indicator like the SPF ETF.

The downloadable Mathematica notebook does not contain the data separately from the images.  However, the data can be recovered from the image.  Select the image, then select Show Expression from the Cell menu; the image will be converted to the Mathematica code.  Copy the string contained in "CompressedData" and use the function Uncompress on this string.  You will recover the data.

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© Copyright 2008 mathestate    Fri 22 Feb 2008