Volatility
Volatility calculator close to close
Close-to-close realized volatility from the closes you paste, de-meaned, then annualized with the calendar you pick. One asset or a whole list.
BTC
BTC vol 42.1%
Close-to-close, de-meaned, then annualized with the bar size you picked.
- BTC
- 42.1%
2.20% per bar
- Each row is daily, 365 periods a year. Annualized figures use 365 periods.
- 90 closes in the series. Computed by Thrive's portfolio engine. Rounded to the digit shown.
Close-to-close is the honest baseline
Close-to-close vol is the standard deviation of log returns between closes. It ignores the high and the low. That makes it comparable across Bitcoin and an ETF, and it is the input the rest of these tools use.
The engine de-means the log returns before squaring them, so a strong trend is not mistaken for noise. The raw figure is per period. The page multiplies by the square root of 365, 252, 52, or 12.
How this page runs it
Each column is a close series. Thrive's portfolio engine computes close-to-close volatility. Your frequency choice controls the annualization, not the estimator.
Asset pages under /tools/volatility already run this on live history for the large caps and the major ETFs.
How to run it
- Paste one or more close columns.
- Match the frequency to the rows. Crypto dailies are 365. Stock sessions are 252.
- Read the annualized vol. The per-period figure is in the footnote.
- Open the asset page if you want the live 30-close and 90-close split.
FAQ
People also ask
It is the standard deviation of logarithmic returns from one close to the next. It is the baseline realized-vol estimator. Parkinson, Garman-Klass, and Yang-Zhang also use the high and low, which this page does not ask for.
A daily standard deviation of 3% and an annual vol of 57% are the same fact under a 365-day year. Traders quote the annual number. The page shows both.
365. Bitcoin prints a close every day. Using 252 pretends weekends do not exist and understates the year. ETFs on this site use 252.
No. This is realized vol from closes. Implied vol is an options price, and it is a different number.
Related
VaR and CVaR calculator
Empirical value at risk and conditional value at risk from the closes you paste. VaR is the loss you only breach on the bad days. CVaR is the average loss on those days.
Correlation matrix calculator
Empirical correlation from your closes. The heatmap is the number in each cell, not a color standing in for one.
Sharpe ratio calculator
Paste a close series. The engine returns the Sharpe ratio, the 95% band, and the probabilistic Sharpe: the chance the true ratio beats zero.
Position size calculator
Vol and drawdown tell you the path. Size tells you what you can hold.
Bitcoin volatility
Live 30-close and 90-close realized vol.
SPY volatility
S&P 500 ETF realized vol on session closes.
Bitcoin volatility
The live 90-close vol print for the BTC sample.
Vol on the chart. Size on the account.
A 60% annual vol names the asset. It does not name your risk until you multiply by size. Thrive keeps that product next to the trade.