Historical volatility
Definition · Level 5 · Greeks & volatility
Keep reading with Tradecraft
Without an account, you can read three definitions every 30 days. Tradecraft explains all 738 terms and strategies, with the lessons that teach them, flashcards that come back before you forget, quizzes and a payoff lab.
Synonym of realized vol, as charting platforms label it (HV20, HV30): the annualized standard deviation of past daily returns over a chosen lookback, usually computed from closing prices, with no option prices involved.
Example
HV30 at 18% while IV is 25%: options price more movement than the stock has lately delivered.
Where Tradecraft teaches it
Level 5 · Greeks & volatility, in the lesson “Implied vs realized, IV rank & vol crush”: IV is the price of options: how to judge whether it is high, and what happens after the event.
Related terms
- Event premiumExtra implied vol in the expiries that span a known catalyst (earnings, drug approval, central-bank decision); it vanishes once the news is out.
- IV percentileShare of trading days in the past year on which implied vol was below today’s level; less distorted by one spike than the range-based measure.
- IV rankWhere current implied vol sits in its 52-week range: (IV − 52w low) ÷ (52w high − 52w low) × 100.
- Volatility risk premiumThe tendency of implied vol to exceed the vol later realized, on average (most reliably in index options) — compensation option sellers earn for…
- 25-delta optionThe OTM call or put whose delta is ±0.25 — the standard reference strike for quoting skew; very roughly a 1-in-4 chance of finishing in the money.
- Black–ScholesEuropean option-pricing model using spot, strike, time, rates, dividends and volatility; assumes lognormal prices, constant vol, no jumps and…