Realized volatility

Realized volatility

Sometimes referred to as the historical volatility, this term usually used in the context of derivatives. While the implied volatility refers to the market's assessment of future volatility, the realized volatility measures what actually happened in the past. The measurement of the volatility depends on the particular situation. For example, one could calculate the realized volatility for the equity market in March of 2003 by taking the standard deviation of the daily returns within that month. One could look at the realized volatility between 10:00AM and 11:00AM on June 23, 2003 by calculating the standard deviation of one minute returns.

Historical Volatility

A measure of a security's stability over a given period of time. While there are various ways to calculate it, the most common way is to compute the average deviation from the average price over the period of time one wishes to measure. The historical volatility is often compared to the implied volatility to determine if a security is overvalued or undervalued. Generally, securities with a higher historical volatility carry more risk. It is also called realized volatility or the standard deviation. See also: Volatility.
References in periodicals archive ?
The 50 stocks with the lowest realized volatility form the Index.
The strategy often involves the selling of options to take advantage of the discrepancies in current implied volatility versus expectations of subsequent implied or realized volatility.
The studies are in association with the various issues on the stock market development and portfolio optimization, our study identifies the gap on the emerging market volatility index in terms of behavior of volatility index as the expected volatility of the future stock market realized volatility.
In the past two weeks, realized volatility in 10-year German yields has been 7.
First, paralleling my earlier analysis on realized volatility, I examine the relationship between trading volumes and the arrival of news.
In words, unexpected volatility at time t is computed as the difference between the realized volatility at time t and expected volatility of time t that was forecasted at time t-1.
The average realized volatility of a diversified U.
Figure 8 shows that (i) realized volatility reached an annualized level of more than 50 percent on March 16, which was three times the 90th percentile of its distribution, and (ii) 1-week implied volatility reached 22 percent on March 17.
It allows users to select, build and monitor custom views of the FX markets using real-time prices, technical indicators, price action analysis, high/low analysis, implied and realized volatility matrices, standard deviation cones and a host of other analytics.
As realized volatility has declined significantly since the turmoil at the start of the year ended, it is fair to stick to the three-month volatility, though higher volatility would change the situation dramatically.
Research has consistently found that Black-Scholes implied volatility is a conditionally biased predictor of realized volatility across asset markets.
The availability of daily market prices for crude oil and the fact that oil prices exhibit substantial day-to-day fluctuations make the realized volatility of oil prices a natural measure of volatility (see, e.