Close-to-Close HV

HV from daily closing prices, includes overnight gaps

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.