Technical
What is Historical Volatility (HV)?
The annualized standard deviation of daily returns over a lookback window (commonly 20 days), expressed as a percentage — the same units the options market quotes implied volatility in.
Formula
HV = Standard Deviation of daily returns (20 days) × √252 × 100
How to Interpret
Regime context more than signal: high-HV names need wider stops and smaller size; HV compression after a storm often precedes the next directional phase. Comparing HV to an asset's own history flags unusual calm or stress.
Typical Ranges
An HV of ~30 means daily swings consistent with ±30% annual variation. Backward-looking by definition — it describes the storm after it started. Symmetric: rallies raise HV exactly as selloffs do.
Find Stocks Using This Signal
Screen US and Indian stocks by Historical Volatility in the Technical screener.