Historical fluctuations are based on statistical analysis of the past. Assuming that the future is an extension of the past, estimating volatility by historical means is similar to estimating the standard deviation of the underlying asset return series.

In the stock market, historical fluctuation reflects the past fluctuation of the basic stock price. However, because the fluctuation of stock price is difficult to predict, it is generally impossible to predict the warrant price by using historical volatility. However, because there is no warrant market in Chinese mainland at present, it is impossible to obtain the warrant price and calculate the implied volatility. Therefore, warrant issuers and investors can only take historical volatility as a reference at the initial stage of warrant issuance.

Taking the calculation of historical volatility of stocks as an example, the calculation method of historical volatility is illustrated.

1. Obtain the price of the underlying stock from the market at fixed time intervals (such as daily, weekly or monthly).

2. For each time period, find the natural logarithm of the ratio of the stock price at the end of the time period to the stock price at the beginning of the time period.

3. Find the standard deviation of these logarithms and multiply it by the square root of the number of time periods in a year (for example, if the time interval is daily, and there are 250 trading days in a year after closing, it will be multiplied by the root sign of 250) to get the historical volatility.