Definition

Realized volatility is a measure of the actual price fluctuations of a financial asset, such as ETFs or crypto-related equities, over a specified period based on historical data. It quantifies the degree to which the asset's price has changed over a set number of past trading sessions. This metric is commonly calculated using closing prices, with variations that may include methods like the Parkinson method, which captures volatility by considering the range of price movements. For ETFs and equities, realized volatility offers critical insights into historical market behavior, enabling portfolio managers and analysts to evaluate past price stability and assess potential risk in their investment strategies.

Details

For realized volatility, the data includes 30-day, 90-day, and 180-day Parkinson realized volatility metrics calculated for the primary ETF or crypto-related equity specified in the query.

API Endpoints

/markets/derivatives/analytics/realized-volatility/tradfi

Availability

	Start Date	Granularity
BITX, BITO, COIN, EETH, ETHU, MARA, MSTR, MSTU, SATO, IBIT	2024-11-11	30 m
BITX, BITO, COIN, EETH, ETHU, MARA, MSTR, MSTU, SATO, IBIT	2021-01-01	5 m

Frequently Asked Questions