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 a secondary options-chain provider, 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.
This is the only free real-time IV source available at this tier. 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.