# SPY Volatility (Updated Daily)

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Source:
Google Finance.

Notes:

Caclulation updated 7/14/2016, for more information see the blog post

Let \(p_t^o\) denote the opening price at time \(t\), and \(p_t^c\) the closing price at time \(t\). The return in a 5-min bar is: \( (p_{t+5}^{c}-p_t^{o})/p_t^{o} \). For example, the first return in a given day is: \((p_{9:35}^{c}-p_{9:30}^{o})/p_{9:30}^{o}\)

Daily return is:\((p_{4:00 PM}^{c}-p_{9:30 AM}^{o})/p_{9:30 AM}^{o}\)

Volatility-Adjusted Return is: \(\frac{\text{Daily Return}}{\sqrt{\text{Sum of Squared 5-min. Returns}}}\)