Historical Volatility

ICE Data Services -

histVolatility() Built-in Study Functions

Historical volatility is a measure of how much the price fluctuated during a given time period.While historical volatility can be indicative of future volatility, it can also differ greatly from future volatility, depending on what was driving the price changes during the past period. Major expected news items are more important drivers of big moves in the price in the near future.In short, historical volatility is a very rough guide for future volatility, and therefore for implied volatility, which is used to price options. However, historical volatility can be a poor guide for implied volatility in certain situations.

Syntax
histVolatility( nLength , nLookback [, Series | sym() | inv() ][, nBarIndex ] )

Parameters
Parameter: Description: Default:
nLength Required. Number of bars to use for calculation volatility for a bar.

 

n/a nLookback Required. Number of bars that defines the time period for which volatility is calculated.

 

n/a Series or
sym() or
inv()
[Optional]  Series Object or function of sym() or inv() to determine symbol/interval source for the study.

 

Base sym/inv nBarIndex [Optional]  Bar index of series to retrieve.

 

n/a


Return Value(s)

Returns a Series Object when nBarIndex is not specified.

Returns a single value when nBarIndex is specified.


Notes
Only available in versions 12.1 or later.

Code Examples
Single Line Indicator:
function main() {    return histVolatility(14, 252);}

Single Line Study-on-Study Indicator:
function main() {    return histVolatility(14, 252, hl2());}

Retrieve single values:
function main() {    var nValue_0 = histVolatility(14, 252, 0);  // Current Bar Index    var nValue_1 = histVolatility(14, 252, -1); // Prior Bar Index             return new Array(nValue_0, nValue_1);}

Initialize a Series Object:
var xStudy = null;function main() {    if (xStudy == null) {        xStudy = histVolatility(14, 252);    }            // retrieve single values for conditional statements    var nValue_0 = xStudy.getValue(0);  // Current Bar Index value    var nValue_1 = xStudy.getValue(-1); // Prior Bar Index value            return nValue_0;  // Plot Current Bar Index Value}

Initialize a Series Object based on an external interval:
var xStudy = null;var bInit = false;  // Initialization flagfunction main() {    if (bInit == false) {        xStudy = histVolatility(14, 252, inv(20));  // 20-min interval        bInit = true;    }            // retrieve single values for conditional statements    var nValue_0 = xStudy.getValue(0);  // Current Bar Index value    var nValue_1 = xStudy.getValue(-1); // Prior Bar Index value            return getSeries(xStudy);  // Synchronized Series plot}


Initialize a Series Object based on an external symbol and interval:
var xStudy = null;var bInit = false;  // Initialization flagfunction main() {    if (bInit == false) {        xStudy = histVolatility(14, 252, sym("IBM,20"));  // IBM 20-min interval        bInit = true;    }         // retrieve single values for conditional statements    var nValue_0 = xStudy.getValue(0);  // Current Bar Index value    var nValue_1 = xStudy.getValue(-1); // Prior Bar Index value         return getSeries(xStudy);  // Synchronized Series plot}


See Also
Series Object
getSeries()
Built-in Study Functions
eSignal Forum Search Engine
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Tutorials