Realized Vol Indicator: Formula, Settings and How to Read It
Realized Vol is the annualised standard deviation of logarithmic close-to-close returns over a rolling window, plotted as a percentage. It describes volatility that has already happened, in contrast with implied volatility, which is derived from option prices.
Senzoukria · Indicators · Updated September 2026
Realized Vol ships with the Senzoukria desktop app, in the Volatility group of the indicator catalogue. It is drawn in its own panel below the chart.
What Realized Vol measures
The window uses the sample standard deviation, dividing by N minus 1, which is the usual historical-volatility convention and deliberately differs from the population divisor used by the Bollinger family in this catalogue. The result is scaled by the square root of the periods-per-year setting. Its default of 362,880 is 252 trading days of 1,440 one-minute bars, so it assumes one-minute bars and a 24-hour day; the CME futures session runs closer to 23 hours, and that approximation is stated rather than hidden. If any close in the window is zero or negative the logarithm is undefined and the indicator returns nothing instead of substituting a value. Nothing is plotted until N returns are available.
The formula, as implemented
This is not a description of how the indicator is usually defined elsewhere — it is what the shipped code computes, documented next to the implementation:
Volatilité réalisée : écart-type ÉCHANTILLON (÷(N−1) — la convention « Historical Volatility », ≠ du ÷N des Bollinger, choix documenté) des N derniers log-returns de close, annualisé ×√(annualization), en %. HYPOTHÈSE DOCUMENTÉE : le défaut annualization = 252 × 1440 = 362 880 suppose des barres 1 MINUTE et 252 jours de cotation de 24 h (la session future CME fait ~23 h/j — approximation assumée). Autre timeframe → ajuster le paramètre (ex. 5 m : 252 × 288 = 72 576). close ≤ 0 dans la fenêtre → null (log indéfini — pas d'info, on n'invente pas) ; warm-up (< N returns) → null.
How to read it
- Read it against its own recent range rather than against an absolute number: what counts as high depends on the instrument and the timeframe.
- A rising line means returns are dispersing, so the same position size carries more variation in points than it did before.
- When a large return finally leaves the window, the line drops sharply; that fall is a property of the rolling window, not fresh information about the market.
- The measure is symmetric — a violent rally and a violent sell-off of the same size produce the same reading.
- Cross-instrument comparison only holds if both panes use the same timeframe, the same period and the same periods-per-year setting.
Parameters and defaults
Period defaults to 20 bars, short enough to react within a session; longer windows describe a regime and respond slowly. The periods-per-year setting must match your chart interval: on a five-minute chart the consistent value is 252 × 288 = 72,576, and leaving the one-minute default in place on slower bars inflates the reading.
| Parameter | Type | Default | Range |
|---|---|---|---|
| Period | number | 20 | 2 – 500 |
| Periods / year | number | 362880 | 1 – 10000000 |
What it does not show
The number has no direction and is built from closes only, so the aggressor side and the volume behind each move are absent from it. Gaps, halts and missing bars in the feed enter the calculation as single large returns and hold the value up for the length of the window. When prints stop moving the close, the reading falls because there is nothing left to disperse, which is not the same as a market that has genuinely settled. Annualisation is a scaling convention applied to a short window, not a forecast over a year.
Using it in Senzoukria
Add it from the Indicators panel of any footprint chart or candle chart. It runs on futures data from Rithmic or Databento and on crypto pairs from Binance and Bybit, on the same engine — the calculation does not change with the venue, only the data feeding it does. Market data subscriptions are billed by the provider, separately from the app.
Related indicators
- True Range — Volatility
- Std Dev — Volatility
- Squeeze — Volatility
- Chaikin Volatility — Volatility
- Skewness — Volatility
- Kurtosis — Volatility
See the full indicator library, or start with the order flow guide if you are new to reading aggression, delta and absorption.
Frequently asked questions
- What is the difference between realized volatility and implied volatility?
- Realized volatility is computed from price history: it is the dispersion of returns that have already occurred, annualised. Implied volatility is extracted from option prices and reflects what the option market is charging for future movement. One is a measurement, the other an expectation, and they routinely disagree.
- Why does realized volatility stay high after the move has ended?
- The calculation is a rolling window. A large return keeps contributing to the standard deviation until it falls out of the last N bars, so the line remains elevated for up to that many bars after the market has calmed down, then drops when the outlier leaves the window.
- What annualization factor should I use on a 5-minute chart?
- Multiply the number of bars in a trading day by the number of trading days you are assuming. On five-minute bars over a 24-hour day that is 288 × 252 = 72,576. Keeping the one-minute default of 362,880 on five-minute bars overstates the annualised figure.