Brian Lee
Aug 12, 2025
\(HV30\) stands for 30-day Historical Volatility. It measures how much a stock’s price has moved over the last 30 trading days and expresses that movement as an annual percentage. Because it uses a 30-day window, \(HV30\) changes slowly and gives a stable picture of how volatile the stock has been. It is calculated from Underlying Closing Price (\(S_{closing}\)) values recorded at the end of each trading day.
The volcalc tool for converting \(HV30\) values into expected price ranges or daily percentage moves has been deprecated.
For each trading day \(i\) in a time series of prices \(S_i\), compute:
\[ u_i = \ln\left(\frac{S_i}{S_{i-1}}\right) \]
These are daily log returns.
Let \(N\) be the number of log returns. Compute the sample standard deviation:
\[ s = \sqrt{\frac{1}{N - 1} \sum_{i=1}^{N} (u_i - \bar{u})^2} \]
where \(\bar{u}\) is the mean of the \(u_i\) values.
If using \(252\) trading days per year, then:
\[ \sigma_{annual} = s \cdot \sqrt{252} \]