Open-Range HV

HV from intraday ranges only, excludes overnight gaps

What is Open-Range HV?

Open-Range HV Historical volatility calculated from intraday price ranges (open to high/low), excluding overnight gaps. Isolates session-only volatility. Useful for day traders and for identifying whether overnight events or intraday trading is driving realized vol.

Complete Definition

Historical volatility calculated from intraday price ranges (open to high/low), excluding overnight gaps. Isolates session-only volatility. Useful for day traders and for identifying whether overnight events or intraday trading is driving realized vol.

Example

A stock's open-range HV is 35% while close-to-close is 35% — intraday trading is the main vol source. If close-to-close jumps to 50% while open-range stays at 35%, overnight gaps are adding vol.