Charts

Historical Volatility (HV)

Description

Historical Volatility is just a standard deviation of the underlying percent return over n-periods.

Formula

\[HV = \sigma = \sqrt{\frac{\sum_{i=1}^{n}(r_{i}-m)^{2}}{(n-1)}}\]

where

\[\sigma = Standard\;deviation\]

\[r_{i} = \frac{P_{t}-P_{t-1}}{P_{t}}\]

\[m = MA\;or\;average\;of\;all\;data\;points\]

\[n = Number\;of\;data\;points\]