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.