Abstract: Disclosed is a system and method for calculating an intra-period volatility of a security. The system includes a means for collecting tick or selected time interval data from a data source, an interface or storage means for collecting or retrieving assumptions and variables used in the determination, and a processor programmed to perform iterative processes to determine the intra-period volatility and perform uses thereof. The steps of the method include receiving tick or selected time interval data from a data source, retrieving or inputting a set of assumptions for use in the calculations, simulating entering into a spread of options, and iteratively adjusting a variable in a pricing model to produce an intra-period volatility. The method may also include using the intra-period volatility in variety of option-related activities.