Where can I find a free source for volatility for Black-Scholes option pricing?

Question

I'm trying to price a stock option for a privately-held company using volatility of comparable companies. Where can I find a free source where I can find the % expected volatility for a group of companies at a certain historical date?

Answer 1

This is a tough one. While it sounds simple, determining volatility is deceptively difficult. The way most professionals do it is by "backing into" the volatility. If you know the strike price, market price of the stock, market price of the option, time to expiration etc., you can calculate the volatility. Of course, North Korea setting off what might or might not be a nuclear bomb can change the volatility in an instant.

I know this isn't helpful. I seem to remember that Investors Business Daily had info on volatility on blue chip stocks.