हिस्टोरिकल वोलैटिलिटी

Historical Volatility की calculation

Historical Volatility एक statistical measure है जो किसी asset की past price fluctuations को quantify करती है। Calculation steps: (1) Daily returns calculate करें: ln(today / yesterday)। (2) Standard deviation of returns निकालें। (3) Annualize करें: daily SD × √252 (trading days)। Result: annualized volatility as percentage। Example: USD/INR का 30-day HV 6% means last 30 days में average annualized volatility 6% थी। Higher HV = more volatile = bigger daily moves। Lower HV = stable।

HV vs Implied Volatility

Key distinction: (1) HV - past-based, factual। "What has happened"। (2) IV (Implied Volatility) - forward-looking, extracted from option prices। "What market expects"। दोनों important हैं: (1) HV baseline है, trends reveal करती है। (2) IV real-time market expectations। (3) HV > IV = options undervalued। (4) IV > HV = options overvalued। (5) Mean reversion - HV extremes typically mean revert to historical average। Options traders दोनों compare करके volatility trades structure करते हैं।

HV Practical Use

Applications: (1) Risk measurement - HV higher = portfolio more volatile। (2) Position sizing - high HV = smaller positions। (3) Stop loss placement - HV-based (ATR) stops। (4) Options pricing - inputs के लिए baseline। (5) Historical context - current move normal या extreme। (6) Comparison - different assets relative volatility। USD/INR का HV generally 5-8% annualized है - relatively stable for an emerging market pair। Crisis periods में spike करती है (2013 Taper Tantrum, 2022 Russia-Ukraine)। Indian NSE traders ATR को proxy for HV use करते हैं। इम्प्लाइड वोलैटिलिटी (IV), एवरेज ट्रू रेंज (ATR), वोलैटिलिटी (Volatility) भी पढ़ें।