Realized volatility
TradingDefinition
Actual volatility of price returns over a historical period. Measured as standard deviation of daily returns annualized by √252.
Compared to implied vol gives the "vol premium." Realized vol clusters — high-vol regimes persist (2008, 2020, 2022); low-vol regimes persist (2017, 2024). Vol regime detection is a profitable trading edge.
Compared to implied vol gives the "vol premium." Realized vol clusters — high-vol regimes persist (2008, 2020, 2022); low-vol regimes persist (2017, 2024). Vol regime detection is a profitable trading edge.