The metrics: turning a volatility number into a judgement
Knowing that implied volatility is 13% tells you almost nothing. Thirteen is high for one underlying and low for another; high this year and low last. The metrics on this page exist to answer the only question that matters — compared with what? — and each of them answers it differently enough that they routinely disagree.
What is volatility metrics? Volatility metrics are the standardised measurements that place a raw volatility reading in context: IV Rank and IV Percentile locate today's implied volatility within its own history, HV versus IV compares the forward-looking figure with the backward-looking one, the volatility risk premium measures the gap between them, and expected move converts an implied volatility into a price range.
Historical Volatility
HVHistorical 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
RVRealized Volatility is the volatility an asset actually delivered over a past period, measured from its realised price path — the quantity an option selle…
IV Rank
IVRIV 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
IVPIV 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
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…
Volatility Risk Premium
VRPThe volatility risk premium is the systematic gap by which implied volatility exceeds the volatility that subsequently realises, typically one to four vol…
Expected Move
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
σStandard 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
σ²Variance 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
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…