How is historical volatility calculated?


New member
From TD "Historical vol is based on price changes for a stock or index over a period of time. That time can be a year, 10 days, or any time period. It doesn’t change for a given set of data, because a stock’s past price changes are what they are. "

Q: What is the period of time??? It's different for every stock? Thanks for your help.
I believe the default for ThinkScript is 20 days or periods. You can change that by clicking on the scroll symbol next to the function or by clicking on the asterisk if you've put it into a chart. The default for the square root calculation is 252 annual trading days.

I wish there were a list somewhere of what the various possible modifiers are for a function. I know you can modify various functions but I don't know how or which ones or in which ways. I'm used to Metastock code where they make it clear where you can add modifiers in sequence in parentheses behind anyone of their functions. I find ThinkScript incredibly inscrutable and difficult so far but hopefully that will change with time.
How does one illustrate volatility?

I know there is a TOS study for IV, but what exactly is that showing you?

I guess the real question, is how do you see the movement of an option that rises or falls without the stock price moving?

What are some techniques you all use, if so, why?

Thank you for your time!
@autoloader Yeah that all makes sense, I agree. Thank you

@ProfessorAR15 Not 100% if this is the answer, but it sounds like what you're getting at is explained by the greeks. TD has a really good video on the greeks just search TD ameritrade greeks and it will explain how the price of the option is calculated.


Join useThinkScript to post your question to a community of 21,000+ developers and traders.

Not the exact question you're looking for?

Start a new thread and receive assistance from our community.

87k+ Posts
465 Online
Create Post

The Market Trading Game Changer

Join 2,500+ subscribers inside the useThinkScript VIP Membership Club
  • Exclusive indicators
  • Proven strategies & setups
  • Private Discord community
  • ‘Buy The Dip’ signal alerts
  • Exclusive members-only content
  • Add-ons and resources
  • 1 full year of unlimited support

Frequently Asked Questions

What is useThinkScript?

useThinkScript is the #1 community of stock market investors using indicators and other tools to power their trading strategies. Traders of all skill levels use our forums to learn about scripting and indicators, help each other, and discover new ways to gain an edge in the markets.

How do I get started?

We get it. Our forum can be intimidating, if not overwhelming. With thousands of topics, tens of thousands of posts, our community has created an incredibly deep knowledge base for stock traders. No one can ever exhaust every resource provided on our site.

If you are new, or just looking for guidance, here are some helpful links to get you started.

What are the benefits of VIP Membership?
VIP members get exclusive access to these proven and tested premium indicators: Buy the Dip, Advanced Market Moves 2.0, Take Profit, and Volatility Trading Range. In addition, VIP members get access to over 50 VIP-only custom indicators, add-ons, and strategies, private VIP-only forums, private Discord channel to discuss trades and strategies in real-time, customer support, trade alerts, and much more. Learn all about VIP membership here.
How can I access the premium indicators?
To access the premium indicators, which are plug and play ready, sign up for VIP membership here.