Curious as to whether or not there is any sort of all time record. Any index, future, or stock will do. Volatility must be well above the average 1 year volatility for all periods.

  • $\begingroup$ There's not a lot of options pricing data available freely, so this is tough. I assume you're not including the period itself as part of the historical volatility? $\endgroup$ – user59 Apr 6 '11 at 15:29
  • $\begingroup$ The period could be included as part of the volatility. I really only include "well above the average 1 year volatility" to set a baseline. Some stocks, e.g. biotech stocks, are always volatile so there is no relative comparison. Yep the question is tough, but I know there are smart people out there! $\endgroup$ – Ralph Winters Apr 6 '11 at 15:57
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    $\begingroup$ I am really curious why on earth would you like to know such a thing? and moreover what would the "winner" do with such a record ? The CEO would tell its shareholders, hey look we don 't care about this year's results because guess what we are the most volatile stock in the world !!! That could be fun. $\endgroup$ – TheBridge Apr 6 '11 at 21:15
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    $\begingroup$ I'm guessing any company whose stock falls to zero meets this criteria during the last year of its life. I agree that the lognormal distribution is no longer an accurate reflection of stock prices. $\endgroup$ – user59 Apr 7 '11 at 1:30
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    $\begingroup$ I was wondering about what might cause this phenomenon. I'm thinking that the IV often increases close to the earnings announcement. But this tends to be short-lived. An IV bump of longer duration may occur in a pharma as they get close to an FDA announcement about their drug that cures (fill in the blank). The options of takeover candidates may have a persistent bump in IV as speculation increases or as arbitrageurs attempt to lock in gains. Finally, a thinly-traded stock that broke out of a trading range might see IV soar, but only because historical volatility jumped. $\endgroup$ – rajah9 Apr 13 '11 at 16:32

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