16.11 Daily volatility continued Strictly speaking we should define od as the standard deviation of the continuously compounded return in one day In practice we assume that it is the standard deviation of the percentage change in one day Options, Futures, and other Derivatives, 5th edition 2002 by John C. HullOptions, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 16.11 Daily Volatility continued • Strictly speaking we should define day as the standard deviation of the continuously compounded return in one day • In practice we assume that it is the standard deviation of the percentage change in one day