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What does historical volatility mean?
trading
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- In Forex General
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- Warren
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- 1 year ago
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HV. Degree or level of up and down movement in a value over time. In securities trading, it refers to price fluctuation over a standard period such as a day, week, month, quarter, or year. Historical volatility is computed by taking the standard deviation of price changes over the chosen period and is usually compared with the implied volatility in pricing an option. It is directly related to the level of risk associated with a security: low HV means low risk, and high HV means high risk. also called statistical volatility. Source(s): http://www.investorwords.com/7339/ historical_volatility.html |
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The Historic Volatility indicator is used mainly as an option evaluation tool. It does not give trading signals like those given with other technical indicators. What it does do is give the trader an idea of how volatile the market has been for a previous period of time. Changing the period of time the study observes allows the trader to fine tune options prices. If a market has been extremely volatile for the past 3 months, for example, then near term options should be more expensive. If the market has been calm for an extended period of time, longer term options should be reasonable. Its use in futures is for observation, telling the trader if prices are calming down or becoming more erratic. |
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Historical volatility is a measure of how much the stock price fluctuated during a given time period. Source(s): http://www.morningstar.com/InvGlossary/ historical_volatility.aspx |
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Historical Volatility is measurement of the change in price over a given period. It is often expressed as a percentage and computed as the annualized standard deviation of the percentage change in daily price. |
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The annualized standard deviation of percentage changes in futures prices over a specific period. It is an indication of past volatility in the marketplace. |
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The realized volatility of a financial instrument over a given time period. Generally, this measure is calculated by determining the average deviation from the average price of a financial instrument in the given time period. Standard deviation is the most common but not the only way to calculate historical volatility. Source(s): investopedia.com |
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They explained well clear here. http://www.investopedia.com/terms/h/ historicalvolatility.asp |
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Historical Volatility is a statistical calculation that tells option traders how rapid price movements have been over a given time frame. The most common method of calculating historical volatility is called the Standard Deviation. |
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Historical Volatility is a measure of price fluctuation over time. Historical volatility uses historical (daily, weekly, monthly, quarterly, and yearly) price data to empirically measure the volatility of a market or instrument in the past. The value rendered by a historical volatility study is the standard deviation of bar-to-bar price differences. |
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The degree of movement in a market over a past time period, typically 100 days. It is normally expressed as an annualized percentage. A 100-day historical volatility of 32%, for instance, means that over the last 100 days the market has fluctuated in such a way that it would be expected to fluctuate about 32% in a year's time. If the market is currently priced at exactly 100, one would expect to see values between 68 (100-32% of 100) and 132 (100+ 32% of 100). |
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This measure is frequently compared with implied volatility to determine if options prices are over- or undervalued. Historical volatility is also used in all types of risk valuations. Stocks with a high historical volatility usually require a higher risk tolerance. |
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The realized volatility of a financial instrument over a given time period. Generally, this measure is calculated by determining the average deviation from the average price of a financial instrument in the given time period. Standard deviation is the most common but not the only way to calculate historical volatility. Also known as "statistical volatility". |
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