Dear Noah, first of all I would not suggest to do any statistical calculation directly on price as price generally non-stationary, hence you might get spurious result. Therefore may be your analysis like: mean(x) 758.9125 sd(x) 2.61521 may be incorrect. Now coming to your main question, if I understood your problem correctly, then your are perhaps asking: how to calculate dollar volatility. To answer this, I would rather go for some ***model based realism*** hence would assume following simple model as DGP for price: log(y[t+1]) = log(y[t]) + epsilon[t+1], epsilon[t+1]~N(0, 0.001201941^2) Therefore given y[t], you can easily estimate the SD of y[t+1], using some simple arithmetic of log-normal distribution. However there is some approximate approach as well........... y[t+1]) -y[t] = y[t] * (y[t+1]) -y[t])/y[t] = (approximately) y[t] * log(y[t+1]/y[t]) = y[t] * epsilon[t+1] Therefore given y[t], you can again easily estimate the SD of y[t+1]), which will be your dollar volatility. HTH _____________________________________________________ Arun Kumar Saha, FRM QUANTITATIVE RISK AND HEDGE CONSULTING SPECIALIST Visit me at: http://in.linkedin.com/in/ArunFRM
[R-SIG-Finance] convert volatility of log returns to dollars
1 message · Arun Kumar Saha