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Trading and Investment Terms

Historical Volatility

Historic Volatility is the standard deviation of the "price returns" over a given number of sessions, multiplied by a factor (260 days) to produce an annualized volatility level. 

A "price return" is the natural logarithm of the percentage price changes or ln[Pt / P(t-1)].

 

How it works

  • In Historical volatility, traders use past trading ranges of underlying securities and indexes to calculate price changes.
  • Calculations for historical volatility are generally based on the change from one closing price to the next. 
  • Historical Volatility does not measure direction; it measures how much the securities price is deviating from its average.
  • When a security’s Historical Volatility is rising, or higher than normal, it means prices are moving up and down farther/more quickly than usual and is an indication that something is expected to change, or has already changed, regarding the underlying security (i.e. uncertainty). 
  • When a security’s Historical Volatility is falling, things are returning to normal (i.e. uncertainty has been removed).

 

 

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