Historical Volatility - HV


DEFINITION of 'Historical Volatility - HV'

The realized volatility of a financial instrument over a given time period. Generally, this measure is calculated by determining the average deviation from the average price of a financial instrument in the given time period. Standard deviation is the most common but not the only way to calculate historical volatility.

Also known as "statistical volatility."

BREAKING DOWN 'Historical Volatility - HV'

This measure is frequently compared with implied volatility to determine if options prices are over- or undervalued. Historical volatility is also used in all types of risk valuations. Stocks with a high historical volatility usually require a higher risk tolerance.

  1. Implied Volatility - IV

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  1. How does implied volatility impact the pricing of options?

    Implied volatility is an important aspect of the time value premium of an option. As implied volatility increases, call and ... Read Full Answer >>
  2. How is implied volatility used in the Black-Scholes formula?

    Implied volatility is derived from the Black-Scholes formula and is an important element for how the value of options are ... Read Full Answer >>
  3. Can delta be used to calculate price volatility of an option?

    The delta of an option is a component of the Black-Scholes option pricing formula, which provides the implied volatility ... Read Full Answer >>
  4. What is an option's implied volatility and how is it calculated?

    Implied volatility is a parameter part of an option pricing model, such as the Black-Scholes model, that gives the market ... Read Full Answer >>
  5. How can you calculate volatility in Excel?

    Though there are several ways to measure the volatility of a given security, analysts typically look to the historical volatility. ... Read Full Answer >>
  6. What is the best measure of a given stock's volatility?

    When selecting a security for investment, traders look at its historical volatility to help determine the relative risk of ... Read Full Answer >>

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