If you are as
Quick Note on MLKJ Day
While president Reagan signed the holiday into law in 1983, NYSE did not make it a full-day exchange holiday until 1998. Source.
If you are asanal meticulous as me about having proper implied volatility numbers, time to expiration (that is normal expected time to expiration) these things matter. The last time I checked popular financial library quantlib their US calendar implementation, it had MLKJ day as holiday every year, even before 1998.
If you are as
Volatility Conversion
Re:Simple Trick to Convert Volatility
Reader asks, "I have weekly volatilities over 370 weeks, I like to convert this into an annualized volatility. How does this work?"
Since volatility is weekly, in the linear case the multiplier would be 52 (weeks per year) , so for volatility you should multiply your weekly volatility by √ 52.
In fact, the length of the measurement - 370 weeks - does not matter at all. If you would have 3 weeks or 7 weeks of weekly volatilities, multiplier would be the same. It is the frequency of observation that matters. To illustrate this consider another example: you have daily volatility over 370 weeks. To annulalize, multiply your daily volatility by √ 252 where 252 is the usual number of trading days per year in the US.
Reader asks, "I have weekly volatilities over 370 weeks, I like to convert this into an annualized volatility. How does this work?"
Since volatility is weekly, in the linear case the multiplier would be 52 (weeks per year) , so for volatility you should multiply your weekly volatility by √ 52.
In fact, the length of the measurement - 370 weeks - does not matter at all. If you would have 3 weeks or 7 weeks of weekly volatilities, multiplier would be the same. It is the frequency of observation that matters. To illustrate this consider another example: you have daily volatility over 370 weeks. To annulalize, multiply your daily volatility by √ 252 where 252 is the usual number of trading days per year in the US.
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