Daily Volatility (\(DV\))

Brian Lee
Jul 21, 2025

Daily volatility provides a statistical estimate of how much a stock’s price is expected to fluctuate within a single trading day. By applying this measure to the opening price, we can project an expected trading range for the day. This range helps assess whether a stock is likely to move beyond normal expectations, which can be useful for evaluating potential overpricing or underpricing.

1. Calculate Daily Volatility, denoted as \(DV\), using the annualized 30-day historical volatility, \(HV30\). Since \(HV30\) is expressed as a percentage, we first convert it into a daily fractional form: \[DV = \frac{HV30}{\sqrt{252}} \div 100\]

2. Estimate the Expected Daily Price Range using the opening price as the statistical mean of the distribution:

   • \(DV_{low} = UP_{opening} - UP_{opening} \times DV\)
   • \(DV_{high} = UP_{opening} + UP_{opening} \times DV\)

where

• \(UP\) (or \(UP_{spot}\)) is the current underlying stock price (see Spot Price (\(UP_{spot}\)))
• \(UP_{opening}\) is the underlying price at the market open (see Underlying Opening Price (\(UP_{opening}\)))

Under the assumption of normally distributed returns, approximately 68% of the time, we expect the stock’s price to stay within the range defined by \(DV_{low}\) and \(DV_{high}\) during the trading day.

See also Daily Volatility Scaler (\(DV_{scaler}\)).