A measure of the actual price fluctuations of the underlying over a specific period of time. At OptionVue, we use the term statistical volatility, reserving the word historic to refer to our past historical data for both IV and SV.
A measurement of how much a contract's price has fluctuated over a period of time in the past; usually calculated by taking a stand`ard deviation of price changes over a time period.
A distinction can be drawn between historic volatility and implied volatility: historic volatility is a figure derived from past price data calculated over different periods, 60 days, 90 days, 6 months etc. Sometimes weighting is used by giving more importance to recent price movements than less recent price movements: there is no definitive figure. The drawback with historical volatility, no matter how calculated, is that it describes things in the past rather than in the future. This is where implied volatility is useful as it is derived from the market price of an option. The correlation between historic and implied volatility is often used.
Is the statistical measurement of the underlying instrumentís price variability over some defined time frame such as 10, 20 30, or 50 days.
Historical volatility is a retrospective measure that directly estimates the volatility of an underlying asset based on data of its past performance.
(See Volatility) Calculated by using the standard deviation of underlying asset price changes from close to close trading for the prior 21 days.
The volatility for a particular time period measured from past behaviour. This is done by means of standard deviation of a sample of daily movements. Historical volatility may not be a true indicator of the future behaviour of price.
The change in the absolute value of a commodity or instrument over a certain period, expressed as a percentage of the LOWEST price recorded in that period. futures/options/swaps
The volatility of the price of an asset during a past period. This can be used by a trader to forecast future volatility of the price.