Historical Volatility (HV)

Actual past volatility from price moves

What is Historical Volatility (HV)?

Historical Volatility (HV) The actual volatility of the underlying stock calculated from past price movements. Measured using close-to-close returns over various windows (5-day to 1000-day). Compare to implied volatility to find over/underpriced options.

Complete Definition

The actual volatility of the underlying stock calculated from past price movements. Measured using close-to-close returns over various windows (5-day to 1000-day). Compare to implied volatility to find over/underpriced options.

Example

AAPL's 20-day HV is 25%, meaning the stock's annualized volatility over the last 20 trading days was 25%. If IV is 30%, options are pricing in more volatility than recently occurred.