Realized Volatility Defined

The Volatility Exchange defines realized volatility in two ways:

Layman’s definition:  Realized volatility is the magnitude of daily price movements, regardless of direction, of some underlying, over a specific period.

Technical definition:  Realized volatility is the daily standard deviation of log returns of an underlying asset, index, instrument, security, or ETF, over a defined period, with an assumed mean of zero, no degrees of freedom, and a constant 252-day annualization factor (regardless of the actual number of trading days within the year).

Links

• Realized Volatility vs. Implied Volatility
• Realized Volatility Formula