ApexVol Terminal
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What is Close-to-Close HV?
Close-to-Close HV Historical volatility calculated from daily closing prices. Captures the full daily move including overnight gaps (earnings, news events). Compare to open-range HV which only measures intraday session moves. When close-to-close HV is significantly higher than open-range HV, overnight events are driving volatility.
Complete definition
Historical volatility calculated from daily closing prices. Captures the full daily move including overnight gaps (earnings, news events). Compare to open-range HV which only measures intraday session moves. When close-to-close HV is significantly higher than open-range HV, overnight events are driving volatility.
Example
After an earnings announcement, NFLX's close-to-close HV spikes to 50% while open-range HV stays at 30%. The gap shows the overnight earnings move is responsible for the elevated vol.
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ApexVol Terminal
Options analytics, live.
Chains, IV rank, expected move and dealer positioning for 5,500+ US stocks and ETFs.
- Live chains and Greeks
- IV rank and percentile
- Expected move and GEX
- Screener and strategy P&L
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