Black Scholes calls/puts spreadsheet

Question

I'm working on a Black Scholes spreadsheet for my financial modeling college class. I'm trying to calculate sigma and then annualize it. My returns are monthly for the past five years (used LN formula). The standard deviation of these returns is .0368207. I think this is the monthly sigma. How do I annualize it?

My professor posted the key. He has an annualized sigma of 19.386%.

I tried using the formula "SQRT(12)*monthly sigma" but I get .1275506

Answer 1

You have not given me enough information to Judge. Your transformation of monthly Realized Volatility is correct. Perhaps your professors number the the Implied Volatility or the volatility implied by the at the money option price.

Message me what you are working on and we can discuss for a couple of minutes