Rogers-Satchell Volatility Node
Realistic Intrabar Volatility Estimation
Rogers-Satchell Volatility uses high, low, close prices (OHLC without assuming gaps) to estimate volatility. Unlike Parkinson, it doesn't assume opening prices follow previous closing behavior, making it ideal for securities with significant overnight gaps. It captures realistic intrabar volatility.
Formula
Parameters
| Parameter | Default |
|---|---|
| period | 14 |
Use Cases
1. Gaps Allowed Volatility
Ideal for overnight gap-prone securities (futures, forex).
2. Option Pricing Input
OHLC-based estimate for option Greeks calculation.
3. Realistic Risk Assessment
Accounts for realistic intrabar volatility including gaps.
4. Overnight Risk Modeling
Better for assets with significant pre-market/post-market moves.
Advantages & Limitations
Advantages
- • Handles gaps without adjustment
- • OHLC-based (complete data)
- • Realistic intrabar estimation
- • No lognormal assumption
Limitations
- • More complex calculation
- • Requires open price data
- • Less stable with small samples
Tips & Best Practices
📊 Compare with Parkinson
RS should be ~90-100% of Parkinson in normal conditions; divergence signals gaps.
⚡ For E-Minis & Futures
Preferred over Parkinson for 24-hour traded instruments.
💰 Use as Baseline
Establish Rogers-Satchell baseline for your instrument, compare current to baseline.
⚠️ Validate with Actual Performance
Cross-check estimate against realized volatility for your trading horizon.
Related Indicators
Parkinson Volatility
High-low only volatility estimator
Garman-Klass Volatility
Combined OHLC volatility estimator
Yang-Zhang Volatility
Advanced OHLC volatility combining multiple methods
ATR
True range based volatility smoothed