Nasdaq 20-Day Realized Volatility
What actually happened, not what options traders expect to happen. This is the annualised standard deviation of the last twenty daily returns on the Nasdaq Composite.
History
Realized versus implied
['Implied volatility — the VIX and its relatives — is the price of insurance. It tells you what the options market charges for protection over the next thirty days. Realized volatility is the opposite: the standard deviation of returns that have already happened.
', 'The gap between the two is the variance risk premium, and it is normally positive because sellers of insurance demand compensation. When realized vol exceeds implied, hedgers were caught short — that is what a volatility spike looks like from the inside.
']Why we compute it ourselves
['Implied volatility indices are vendor products with licensing terms attached. Realized volatility can be computed from any clean price series, which means we can publish it without redistribution restrictions and show you exactly how it is built.
', 'The cost is that it lags: a twenty-session window is by construction backward-looking. A sudden shock shows up in implied vol on day one and in realized vol over the following month.
']Reading the level
["Teens are quiet. Twenties are normal for the Nasdaq. Forties and above mean a directional market with wide daily ranges. The percentile column is more useful than the absolute level, because the Nasdaq's baseline volatility has changed over five decades.
", 'Watch the transition rather than the level. Volatility clusters: high readings follow high readings, which is why a move from 12 to 20 is more informative than a move from 30 to 38.
']How we calculate it
['We take the daily close of the Nasdaq Composite, compute log returns, then the sample standard deviation of the trailing twenty returns, and annualise by multiplying by the square root of 252. The first twenty observations are dropped.
', "No smoothing, no exponential weighting, no adjustment for dividends — the index is a price index. The percentile is the share of daily observations since February 1971 below today's value.
"]Distribution since 1971
Each row is the share of historical observations at or below that level. A reading in the 90th percentile is higher than nine tenths of the record.
Important
Not investment advice. This page is published for information and education only. It is not a recommendation, solicitation, or offer to buy or sell any security. Market data may be delayed, incomplete, or revised. Indicators describe the past; they do not forecast returns. Past performance does not guarantee future results. Do your own research or consult a licensed financial professional before acting on anything you read here.
Questions
Is this the same as the VIX?
No. The VIX is implied volatility on the S&P 500, forward-looking and licensed. This is realized volatility on the Nasdaq, backward-looking and computed by us. They usually move together at turning points and diverge in quiet markets.
Why the Nasdaq rather than the S&P 500?
Because the underlying daily price series is public domain through FRED. S&P index levels are licensed, so a self-computed series on the S&P is not something we can publish.
What counts as high volatility?
Against its own history, above the 75th percentile (roughly the high twenties for the Nasdaq). Against the 2008 or 2020 episodes, anything under 40 looks calm.
Why is the latest stretch of the chart locked?
The current reading and the full record back to 1971 are free. The most recent sessions are member-only.