Historical volatility calculator
The real swing of a price from its closes.
Free risk tools
Range-based volatility calculator
A sharper volatility number from the same bars: the high, the low and the gaps, not only the closes.
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- No sign-up
- Nothing you type is stored
The bars
The volatility
Volatility about 10.0% a year by Yang-Zhang, against 8.2% from the closes alone, or about 0.63% for one bar.
- Why ranges
- The high and low show how far the price really swung inside each bar, which the close throws away. On the same bars the range estimators are several times less noisy than the closes alone.
- Gaps
- 21% of the Yang-Zhang variance comes from gaps between one close and the next open, so Parkinson and Garman-Klass, which only see each bar's own range, understate the risk here.
- Volatility now
- The EWMA, which weights the latest moves most (RiskMetrics, 0.94), reads 7.9% a year: close to the average over all 60 bars.
- Read it with care
- A year counts 252 bars; use 252 for daily bars of a market that trades on weekdays, 365 for crypto. Volatility changes, so the past bars are a guide, not a promise.
Each estimator a year and for one bar, and what it uses from each bar.
| Estimator | A year | A bar | Uses |
|---|---|---|---|
| Close to close | 8.2% | 0.52% | Closes |
| Parkinson | 8.5% | 0.54% | High, low |
| Garman-Klass | 9.2% | 0.58% | All four |
| Rogers-Satchell | 9.2% | 0.58% | All four |
| Yang-Zhang | 10.0% | 0.63% | All four and gaps |
| EWMA now | 7.9% | 0.50% | Closes, recent weighted |
Education only, not investment advice. The answer comes from the numbers you typed in, not from your account or the market. Simulated results are hypothetical and have limits: real trading has slippage, gaps, changing results and emotions. Trading leveraged products can lose money quickly, including all of it. Risk warning
Educational only, not financial advice; trading involves risk.
More from each bar
Volatility from closes alone uses one number per bar. Michael Parkinson showed in 1980 that the high-low range carries far more information, Garman and Klass added the open and close, Rogers and Satchell allowed for a trend, and Yang and Zhang added the gaps between sessions, which the others miss. With the same bars the better estimators give a steadier number, which means steadier stops and position sizes.
Compare with the closes-only historical volatility calculator, the average range with the ATR calculator, see whether volatility is high or low for the market with the volatility regime calculator, and size the trade with the position size calculator.
Not advice. Measured on the bars you type; volatility changes over time.
Next tools
ATR calculator
Average true range from your bars, and ATR stops.
Volatility regime calculator
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Baroq never holds your money and never trades for you. Educational only, not financial advice; trading involves risk.