Volatility — AI Monitor

Volatility Dashboard

IV & HV History — Track Implied vs Realized Volatility

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Historical Volatility (HV)

HV = std(ln(Pt / Pt-1)) × √252

Standard deviation of log returns over the last 30 trading days, annualized by ×√252.

Differences from other platforms

vs ThinkorSwim / TastyTrade: They default to a 20-day window; we use 30 days. 30 days is smoother, difference typically ±2-5%.
vs Interactive Brokers: IB uses the Garman-Klass estimator (OHLC four prices), capturing intraday volatility. Difference can be ±10-30%.

The 30-day close-to-close method is the most widely used standard in academia and retail platforms, consistent with Barchart HV30 and Market Chameleon HV30.

IV Rank (IV Percentile)

IV Rank = Days in past year where IV < current / Total days × 100

Uses the percentile method (what proportion of historical days had IV lower than today), not the range method.

Differences from other platforms

vs TastyTrade "IV Rank": TastyTrade uses the range method (current-min)/(max-min), completely different from ours. Example: If IV ranged 20-40% all year, then spiked to 200% on a black swan day, current IV=35%. Range method gives 8% ("very low"), percentile gives ~80% ("elevated"). Same data, opposite conclusions.
vs ThinkorSwim "IV Percentile": Despite the label, TOS actually calculates the range method (a well-known labeling error in the industry).
vs Barchart / Market Chameleon: Their "IV Percentile" uses the same percentile method as ours; values should be close.

The percentile method is unaffected by single-day extremes, more accurately reflecting where current IV sits in the historical distribution. TastyTrade itself also provides both metrics.

Implied Volatility (IV)

ATM call impliedVolatility from the nearest expiration

Real-time ATM implied volatility from the yfinance options chain, updated hourly.

Differences from other platforms

vs TastyTrade (IVx): TastyTrade uses a 30-day interpolated weighted average across 8 options on two expirations. Smoother. Difference ±5-15%.
vs CBOE (VIX): VIX uses a model-free variance approach covering all strikes. Index-only, not comparable.

yfinance is the only free real-time IV source. While single-strike noise is higher, it is reliable for relative comparisons via IV Rank ("high or low"), since all historical data uses the same collection method.

Summary

Metric	vs TastyTrade	vs ThinkorSwim	vs Barchart
HV	±2-5%	±2-5%	Close
IV Rank	Can differ significantly	Can differ significantly	Close
IV	±5-15%	±3-10%	±3-8%

Closest to Barchart "IV Percentile" and Market Chameleon "IV30 % Rank". Large differences from TastyTrade "IV Rank" and ThinkorSwim "IV Percentile" are due to fundamentally different formulas, not data errors.