Our Volatility and VIX Collection had some charts that were more than two years old. This post updates some of those charts and will re-create them more often.
Volatility can be measured in a number of ways and its profile changes based on the look-back period. The parameters are selected based on what the volatility estimate is used for. Moreover, no two indices exhibit the same profile – traders need to be vary of transplanting trading strategies that work for one market into another.
Historical volatility density plots
20-day historical volatility density plots
20-day historical volatility plots
US S&P 500
Japanese Nikkei 225
Indian NIFTY 50
Implied volatility
Code and a lot more charts are on github.
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