Volatility cone: how fast a symbol moves against its own history

The volatility cone measures how much a symbol has moved over windows of 5 to 180 days, spreads every past window of each length into a range and shows where the latest one sits in it. It tells you whether the market is calm or stretched for this symbol, not against another one. It is a Pro Lab tool, part of the Pro and Elite plans.

Using it

1. On a computer, press Pro Lab on the right-hand toolbar; on a phone, open the analysis centre from the chart's bottom bar and choose Pro Lab. Then choose Volatility cone.
2. Pick a symbol from the search; the chart's symbol opens first.
3. Choose how much history makes up the range: 1, 2 or 5 years, or all of it.
4. Choose the window the summary and the history chart read: 10, 20, 30, 60 or 90 days.

Reading the results

• The first line gives the latest window's volatility, in % a year, and its percentile among every window that long in the history.
• Under the 25th percentile the symbol is calm; over the 75th it is stretched; from the 90th it is among the fastest it has moved.
• The cone draws, for each window length, the band between the 10th and 90th percentiles and the band between the 25th and 75th, the median dashed and the latest window as a line. The table adds the lowest and the highest.
• The history chart shows the chosen window's volatility over time against its 10th, 50th and 90th percentiles.

Good to know

• A window's volatility is the root mean square of its daily log returns times the square root of the bars in a year: about 365 for a coin, about 252 for a stock.
• A window length needs at least 30 past windows before its range is drawn.
• Option traders compare the cone with implied volatility: an option priced above the cone's top for its expiry is expensive against how the symbol has actually moved.