Sorry to rehash an old thread - but I'd much prefer than starting a new one. Sim, feel free to move. I want to build a daily volatility index (as I can't find one) on the ASX200. I imagine it would simply be the opening and closing prices represented as a percentage and then you could find all sorts of averages - daily, weekly, monthly, yearly etc You could then use these to compare standard deviations etc. Is this the correct way to do it? Has this been done before (so I don't have to build it)?