Every volatility concept, in one place

What is Volatility? At its core it is the annualised standard deviation of an asset's returns — a measure of how far price typically strays from its own p…

Historical Volatility is the annualised standard deviation of an asset's past close-to-close log returns over a chosen window — a purely backward-looking …

Realized Volatility is the volatility an asset actually delivered over a past period, measured from its realised price path — the quantity an option selle…

Implied volatility is the volatility figure that, when fed into an option pricing model, makes the model output the option's current market price exactly …

Expected volatility is a forecast of how much an asset will move over a future period, produced by a statistical model from the return history — which mak…

Forward volatility is the volatility the option market implies for a future window between two dates T1 and T2, extracted from the two spot implied volati…

Annualized volatility is a short-period volatility rescaled to a one-year horizon by multiplying by the square root of the number of periods in a year, be…

Intraday volatility is the dispersion of an asset's returns measured within a single trading session, revealing a U-shaped pattern — violent at the open, …

How IV is calculated comes down to inversion: you fix every observable input to a pricing model and search numerically for the single volatility that make…

Why IV changes is a question about order flow, not opinion: implied volatility rises and falls because the demand for options relative to their supply ris…

IV expansion is a sustained, persistent rise in implied volatility in which the market re-rates the entire distribution of future outcomes upward and keep…

IV crush is the sudden, one-print collapse of implied volatility that occurs the instant a scheduled event resolves, as the option stops charging for unce…

Event volatility is the portion of an option's implied volatility attributable to a single scheduled event — such as an RBI decision or the Union Budget —…

Earnings volatility is the pronounced rise and subsequent collapse of a single stock's implied volatility around its quarterly results release, driven by …

The volatility smile is the U-shaped curve you get when you plot each strike's implied volatility against its strike price, in which both out-of-the-money…

The volatility skew is the downward-sloping implied-volatility curve that equity indices print, in which out-of-the-money puts are systematically dearer —…

The volatility surface is the two-dimensional map of implied volatility plotted over both strike and time to expiry — the full object that any single quot…

Sticky strike is the volatility-surface regime in which each strike keeps its own implied volatility fixed as spot moves, so the curve stays glued to stri…

Sticky delta is the volatility-surface regime — also called sticky moneyness — in which the entire smile slides sideways along with spot, so the at-the-mo…

IV Rank locates today's implied volatility inside its own trailing 52-week range, scoring it from 0 at the year's low to 100 at the year's high — so it an…

IV Percentile is the fraction of trading days in the past year on which implied volatility closed below today's level, expressed from 0 to 100 — so it ans…

HV vs IV is the comparison between historical volatility — how much the underlying actually moved in the past — and implied volatility — how much option p…

The volatility risk premium is the systematic gap by which implied volatility exceeds the volatility that subsequently realises, typically one to four vol…

Expected move is the one-standard-deviation price range that an option's implied volatility is pricing over a chosen number of days, computed as spot × im…

Standard deviation is the typical distance of a set of numbers from their average, and in finance it is the exact quantity that volatility measures — spec…

Variance is the square of volatility — the average of the squared deviations of returns from their mean — and it is the quantity that adds across independ…

Realized variance is the sum of the squared returns of an asset over a period, and because squaring makes the largest moves dominate the total, it is less…

The volatility term structure is the curve you get when you plot at-the-money implied volatility against days to expiry — and its slope, not its level, te…

Contango is the market's default state, in which the volatility term structure slopes upward — near-dated implied volatility trades below long-dated — so …

Backwardation is the inverted volatility term structure — near-dated implied volatility trading above long-dated — that appears in selloffs and crises whe…

Calendar structure is the implied-volatility relationship between two expiries that a calendar spread actually trades — sell a near-dated option, buy a fa…

Expiry structure is the implied volatility read off each individual listed expiry of an index, and on NIFTY it forms a saw-tooth — every weekly and the mo…

Volatility curve, in the sense that matters to a volatility trader, is the volatility cone — the historical distribution of realised volatility plotted fo…

Event premium is the extra variance that a single scheduled event — an RBI decision, the Union Budget, election counting — injects into an option's total …

Rolling volatility is the realised volatility of an underlying computed over a moving window of the most recent days, re-estimated each day as the window …

India VIX is NSE's volatility index — a model-free measure of the volatility the near-dated NIFTY option chain is pricing over a fixed forward 30-day wind…

CBOE VIX is the Chicago Board Options Exchange's volatility index — a model-free measure of the volatility the near-dated S&P 500 option chain is pricing …

VVIX is the volatility of the volatility index — a model-free measure of how much the VIX itself is expected to move over the next 30 days, computed from …

VIX futures are exchange-traded contracts on the future value of a volatility index, and because volatility mean-reverts they price toward its long-run av…

VIX options are options written on a volatility index that settle against the VIX future of matching expiry rather than against spot VIX, which — together…

VIX term structure is the curve of a volatility index across expiries — VIX9D, VIX, VIX3M and VIX6M — whose slope reveals whether the market believes toda…

Fear Index is the popular nickname for a volatility index such as India VIX, and it is a misnomer — the index measures the price of optionality, meaning t…

Market sentiment, read through volatility, is what option prices reveal about crowd positioning — via the put-call ratio, the skew, and the term-structure…

Long volatility is any position built to gain when volatility increases — typically by owning options — so that its maximum loss is the known premium paid…

Short volatility is any position built to gain when volatility falls — typically by selling options and collecting premium — so that its maximum profit is…

Long vega is a position whose value rises when the LEVEL of implied volatility rises, independent of whether the underlying actually moves — an exposure t…

Short vega is a position whose value falls when implied volatility rises, giving it a steeply asymmetric exposure in which the entire upside lives in a na…

Gamma scalping is the practice of holding a delta-hedged long-gamma position and re-hedging it back to flat as the underlying moves, which converts the di…

Delta hedging is the practice of holding a position in the underlying that offsets the directional exposure of an option, so that small moves in the spot …

Volatility arbitrage is buying an option believed cheap on volatility, or selling one believed expensive, and delta-hedging it so that direction is stripp…

Dispersion trading is selling volatility on an index and buying it on the index's constituents, a position that profits when the individual names move mor…

Calendar trading is taking opposing option positions at the same strike but different expiries, so the trade is not a bet on the level of implied volatili…

IV and option premium are linked through the option's time value: raising implied volatility widens the distribution of possible outcomes and therefore ra…

IV and theta are tied together because a higher implied volatility means more time value to decay away and a wider expected daily move, so an option's the…

IV and vega are connected because vega is the rupees of premium an option gains or loses for a one-percentage-point change in implied volatility, and its …

IV before expiry becomes an increasingly unstable quantity as the at-the-money premium collapses toward zero with the square root of remaining time, so th…

IV after expiry does not exist, because implied volatility is a property of a specific option contract rather than a continuous quantity attached to the u…

IV around events is the predictable arc an option's implied volatility traces as a scheduled announcement approaches: it rises convexly while the uncertai…

IV around RBI policy is the modest, staged implied-volatility arc surrounding a Monetary Policy Committee decision — mild because the rate move is usually…

IV around the Union Budget is the long, roughly month-long implied-volatility build-up and deep post-speech crush surrounding the government's annual fisc…

IV around election results is the largest scheduled volatility event in the Indian market, building toward roughly 28.5% implied volatility on the eve of …

Low volatility markets are regimes in which daily price moves stay small — realised volatility around 10% annualised — options are cheap, and short-volati…

High volatility markets are turbulent regimes of several-percent sessions with no reliable direction — realised volatility around 26% annualised — in whic…

Trending markets are regimes of persistent direction with modest daily dispersion, where a run of small same-signed moves compounds into a large total ret…

Range-bound markets are regimes of oscillation around a centre, where daily volatility can stay high while the multi-month return collapses toward zero — …

Crisis volatility is the behaviour of a market in dislocation — the term structure inverts into backwardation, skew goes vertical, correlation across cons…

Mean reversion in volatility is the persistent tendency of volatility to be pulled back toward a long-run level — around 14% annualised for NIFTY — with e…

Volatility clustering is the empirical regularity — noted by Mandelbrot in 1963 and formalised by Engle's ARCH in 1982 — that large price changes tend to …