Options & Derivatives

Realised Volatility

Also known as: Historical Volatility

The volatility actually observed in an asset's price over a past period.

Typically the annualised standard deviation of log returns, using the square-root-of-time rule with sqrt(252) for daily data.

The central options trade is realised versus implied: a delta-hedged long option position profits when realised exceeds the implied volatility paid, and loses otherwise.

Estimation choices matter. Close-to-close estimators discard intraday information; Parkinson and Garman-Klass estimators use high-low ranges and are substantially more efficient for the same sample. Knowing that these exist is a good detail.

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