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jwammo12

Volatility Skew

jwammo12  
Volatility Historical Volatility Standard Deviation SKEW
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volatility historicalvolatility standarddeviation skew
This indicator measure the historical skew of actual volatility for an individual security. It measure the volatility of up moves versus down moves over the period and gives a ratio. When the indicator is greater than one, it indicators that volatility is greater to the upside, when it is below 1 it indicates that volatility is skewed to the downside.

This is not comparable to the SKEW index, since that measures the implied volatility across option strikes, rather than using historical volatility.
Open-source script

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