Historical Volatility Node
Realized Volatility from Price History
Historical Volatility measures the standard deviation of logarithmic price returns over a specified period, representing the actual volatility realized in price movements. It's the most straightforward volatility measure and serves as the realized vs implied comparison for option traders. Daily HV tracking helps identify volatility regimes and mean reversion opportunities.
Formula
Parameters
| Parameter | Default |
|---|---|
| period | 20 |
Use Cases
1. Realized vs Implied Comparison
Compare HV to implied volatility for option mispricings.
2. Volatility Regime Identification
Track 100-day HV for long-term volatility trends.
3. Mean Reversion Setup
Extreme HV (high or low) often reverts to average.
4. Strategy Performance Baseline
Establish expected returns relative to HV environment.
Advantages & Limitations
Advantages
- • Simple and intuitive concept
- • Backward-looking (realized)
- • No complex calculations
- • Works with just close prices
Limitations
- • Lagging indicator (past data)
- • Doesn't predict future vol
- • Less efficient than OHLC methods
Tips & Best Practices
📊 Multi-Period Tracking
Track HV(10), HV(20), HV(100) to identify term structure.
⚡ Compare to Implied
When HV < IV, market overprices options; when HV > IV, underpriced.
💰 Annualization
HV × √252 = annualized volatility for direct IV comparison.
⚠️ Historical Doesn't Predict
High past volatility doesn't guarantee future high volatility; market changes.
Related Indicators
Standard Deviation
HV base calculation method
ATR
Alternative volatility measure
Yang-Zhang Volatility
More efficient OHLC alternative
Bollinger Bands
Uses stdev for dynamic support bands