Realized volatility
Realized volatility is the standard deviation of an instrument's past returns over a chosen window, usually annualised and quoted in percent; it measures how much price actually moved, as opposed to implied volatility, which is what option prices say the market expects.
Senzoukria · Glossary · Updated September 2026
Computation
Take the last N log returns of the close, ln(close_t / close_{t−1}). Compute their sample standard deviation, dividing by N − 1, which is the historical-volatility convention. Multiply by the square root of an annualisation factor, the number of bars in a year, and express the result in percent. On daily bars the factor is the number of trading days; on intrabar data it has to account for the number of bars per day as well.
- Senzoukria uses the sample form (N − 1) here and the population form (N) in its Bollinger and z-score indicators. The difference is small on long windows and is documented in each formula.
- A close of zero or below in the window makes the logarithm undefined; the value is reported as missing.
- Until N returns exist there is no estimate, and the pane stays empty rather than showing zero.
Realized versus implied
The gap between the two is itself information: option prices that imply more movement than recently realised, or less, describe how the market prices future uncertainty relative to the recent past. The volatility skew guide covers the implied side and what the shape of the smile can suggest.
| Realized volatility | Implied volatility | |
|---|---|---|
| Source | Past prices of the instrument | Current option prices |
| Direction in time | Backward-looking | Forward-looking, per expiry and strike |
| Needs | Price history only | An options chain and a pricing model |
| Typical use | Sizing, stop distances, regime description | Skew, expected move, hedging pressure |
Reading it on futures
- It is a level, not a direction. A rising realized volatility says ranges are widening, not which way price is going.
- It is window-dependent. A 20-bar figure reacts to the last session; a 100-bar figure smooths it away.
- A related unit-free reading is the Volatility Regime indicator, the ratio of a short ATR to a long ATR, which compares the moment with its own normal without needing annualisation.
- The annualised percentage only makes sense if the annualisation factor matches the bar interval. A figure computed with the wrong factor is off by a constant and cannot be compared across timeframes.
In Senzoukria
The catalogue indicator is Realized Vol, in the Volatility group, drawn in its own pane with Period and annualization parameters. Its default annualization assumes 1-minute bars and 252 days of 24-hour trading, which the formula notes is an approximation for a CME session of roughly 23 hours; on another timeframe the parameter must be adjusted by hand. The indicator catalogue labels it Realized volatility · manual annualization for that reason. Implied volatility is a different quantity: in the desktop it comes from the options chain read by the GEX module, as published, and only when an options source is configured.
Common mistakes
- Leaving the default annualisation on a 5-minute or daily chart and reading the resulting percentage as comparable to a published daily-vol figure.
- Comparing realized volatility with implied volatility that was computed for a different horizon.
- Using it as a trend indicator; it is symmetric in the sign of returns.
- Assuming that low realized volatility implies safety for a position size decision. The next window is not constrained by the last one.
Related
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Frequently asked questions
- Why annualise realized volatility at all?
- Annualisation puts figures from different bar sizes on a common scale so that a 1-minute estimate and a daily estimate can be compared, and it matches the convention in which implied volatility is quoted. The conversion multiplies the per-bar standard deviation by the square root of the number of bars in a year, so the factor must match the interval actually charted.
- Is realized volatility the same as the ATR?
- No. The ATR averages the true range of each bar in price units and ignores the direction and distribution of returns. Realized volatility is a standard deviation of returns in percent. They usually move together but respond differently to gaps and to a run of small-bodied bars with long wicks.