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A basic volatility estimator using only daily closing prices. Simpler than Yang-Zhang but misses intraday extremes and overnight gaps. ORATS uses this as the basis for VRP calculations. This is the basis for the HV 20d metric displayed on VolRadar ticker pages.
⚡ KEY TAKEAWAY: Simple but blind to intraday spikes and overnight gaps. That's why VolRadar shows Yang-Zhang alongside it for the full picture.
Implied Volatility (IV)
Higher IV = more premium to collect when selling options. But also more risk if the stock moves.
Realized Volatility (RV)
When RV is lower than IV, options are overpriced relative to actual movement — the core edge for sellers.
IV Rank
IV Rank > 50 = premiums elevated, good for selling. Below 30 = cheap, consider waiting.
IV Percentile
IV Percentile 80 = IV was lower than today 80% of the time. High percentile confirms elevated premiums.