Historical volatility

Also found in: Dictionary, Thesaurus, Medical, Legal, Encyclopedia.

Historical volatility

Fluctuations estimated from a historical time series.

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.

Mentioned in ?

References in periodicals archive ?

In comparative-sets, one is applying the historical volatility (BS[G.

Exchange options pricing with evolutionary neural-based fuzzy inference systems

It may help to segment the types of historical events that would likely bias a historical volatility estimate (being applied forward) into four categories:

New option expensing rulings spawn new options: to expense or not expense stock options is no longer the question, but new rulings have raised significant compliance questions, while simultaneously adding a new source of financial expense--two often-conflicting objectives

If volatility is random or path-dependent, and asset returns and volatilities are negatively correlated, then implied volatilities from option prices could be higher than the observed historical volatility from the underlying asset.

The Risks and Rewards of Selling Volatility

For comparison, the security's one-month historical volatility rests at 13.

Schaeffer's Option Blog: Implieds Rise on The Kroger Co. Ahead of Earnings

The service includes a fully maintained security master; real time prices for listed securities as well as the provision of "value-added" data such as dividend projections, correlations, and historical volatility for some 47,000 stocks around the world.

Imagine Software's ASP - Derivatives.Com - to Offer Credit Default Swaps With The Availability of It's 5.2 Release

More specifically, the strategist is targeting a sluggish or range-bound stock with an historical volatility level significantly lower than the implied volatility levels of its in-the-money options.

Schaeffer's Advanced Options: Singling Out a Sweet Short Guts Candidate

Compared to NOK's one-month historical volatility of only 29%, the July 15 call is relatively pricey at the moment.

Schaeffer's Option Blog: Near-the-Money Call Volume Escalates on Nokia Corporation (NOK)

A number of factors determine whether implied volatilities are rising or declining, but a big component is historical volatility.

Schaeffer's Market Observation Features GE

This screen takes a stock's short-term historical volatility and compares it to a longer-term measure of the stock's historical volatility.

Schaeffer's Market Observation Features A

One place to look for those stocks that may be poised to make a fast, aggressive move is in those stocks whose historical volatility is quite low.