Market analysis
Historical and annualised volatility from a price series.
Historical and annualised volatility from a price series. The page states the equation, the units it expects and the rounding it applies, so the result can be reproduced by hand.
A calculator gives you a number. This one feeds the next: account to risk, risk to position size, position size to the trade, and the trade to expectancy, drawdown and risk of ruin.
See the performance tools →The square-root-of-time rule assumes returns are independent. Real series trend and mean-revert, so the rule understates volatility in trends and overstates it in ranges.
A daily standard deviation of 0.65%, on 252 trading days:
To go the other way, divide: an annual 10.32% is a daily 0.65%.
Because variance scales linearly with time and volatility is its square root. Twice the horizon means √2 times the volatility, not twice.
Divide by √252. A 16% annual volatility is about a 1% daily standard deviation.
Historical is computed from past prices, which is what this calculates. Implied is backed out of option prices and is the market's forecast — they routinely disagree.
A calculator answers one question and raises the next. These are the ones this figure feeds into.
Average true range, for stops and targets that scale with volatility.
Return per unit of volatility, and what the ratio does not tell you.
Average daily range, and how much of today’s range is already spent.
Volatility Calculator · rounding shown to the precision displayed