Volatility Indicators
How wide the price range is, and whether that range is tightening or opening up. 13 topics.
Bollinger Bands
A moving average with bands set a number of standard deviations above and below it.
Average True Range (ATR)
The average of recent true ranges, a point measure of how far price typically travels.
Historical Volatility
The annualised standard deviation of recent returns, a statistical measure of how much price has been moving.
Implied Volatility
The volatility input that makes an option pricing model match the option's market price.
Chaikin Volatility
The percent change in a smoothed high-low range over a set number of bars.
Standard Deviation
A statistical measure of how far recent closes have been from their average.
Donchian Channel Width
The distance between the highest high and the lowest low over the lookback, a raw range width.
Bollinger Band Width
The distance between the upper and lower Bollinger Bands, a normalised view of the squeeze.
Keltner Channel Width
The distance between the upper and lower Keltner Channels, driven by average true range rather than standard deviation.
Volatility Squeeze
A period when recent movement compresses, often visible as bands or channels at an unusually narrow width.
Volatility Expansion
A rise in the size of recent ranges or in the dispersion of closes, after a calmer period.
Volatility Contraction
A fall in the size of recent ranges or in the dispersion of closes.
Average Daily Range (ADR)
The average of recent daily high-low ranges, a practical estimate of how much a market usually travels in a session.