Historical Volatility(HV)
Historical Volatility is the actual, realised volatility of the underlying computed from past price data — a backward-looking benchmark.
HV = annualised standard deviation of past log returnsWhat Historical Volatility Means
Historical Volatility (HV), also called realised or statistical volatility, measures how much the underlying has actually moved over a recent window — say the last 20 or 30 trading days. It is the annualised standard deviation of daily log returns. Where implied volatility is the market's forecast, HV is the factual record of what already happened.
HV is purely backward-looking. A calm month produces low HV; a month with sharp swings produces high HV, regardless of what the market expects next.
HV vs IV
The gap between IV and HV is one of the most-watched edges in options. When IV sits well above HV, options are priced for more movement than the index has been delivering — a setup that favours sellers. When IV is below HV, options look cheap relative to recent reality, favouring buyers. The spread between the two is sometimes called the variance risk premium.
HV in the Indian Market
Comparing Nifty's 20-day HV against India VIX (its IV proxy) shows whether premium is rich or cheap. In quiet trends Nifty often realises far less than VIX implies, which is why systematic premium-selling on weekly expiries has an edge over time. Quintal Mind plots HV against live IV so you can size positions against the actual realised-vs-implied spread.
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