Historical volatility analysis

Explore historical volatility price trends and more...

Historical volatility is a statistical measure of the dispersion of returns for a given security or market index over a given period of time. Generally, this measure is calculated by determining the average deviation from the average price of a financial instrument in the given time period. The higher the historical volatility value, the riskier the security. For trending markets, historical volatility measures how far traded prices move away from a central average, or moving average, price. This is how a strongly trending but smooth market can have low volatility even though prices change dramatically over time. 

We've added a new API called "Historical Volatility" where the API calculates the historical volatility of any global system. The user can set;

• Start and End Dates

• Volatility Days e.g. 10 for 10-day volatility

• Days Factor e.g. 260 or 265

Following is a quick output of historical volatility time series for MSFT from 2019-01-01 to 2019-12-31, with 10-day volatility with 260 days factor value:


To access: See Historical Volatility