Volatility Estimator

Implementation of various volatility calculations in Javascript. Outputs report via markdown and emails html version to requested recipients.

Example data represents the E-mini S&P 500 Futures.

Data is loaded via the Barcharts API.

Currently supports the Historical Close-to-Close (http://www.todaysgroep.nl/media/236846/measuring_historic_volatility.pdf) volatility model and is in progress for a Yang-Zhang (http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.628.4037&rep=rep1&type=pdf) volatility model.

Example Calculations

Close-to-Close

ESU18		Stat	Value
Method	Close-to-Close	3 Sigma UP	2822.50
Latest Data	2018-07-11	2 Sigma UP	2806.25
Periods	20	1 Sigma UP	2790.00
Last Close	2773.75	Volatility	15.42
		1 Sigma Vol	16.25
		1 Sigma DOWN	2757.50
		2 Sigma DOWN	2741.25
		3 Sigma DOWN	2725.00

Yang Zhang

ESU18		Stat	Value
Method	Yang Zhang	3 Sigma UP	2813.75
Latest Data	2018-07-11	2 Sigma UP	2800.50
Periods	20	1 Sigma UP	2787.00
Last Close	2773.75	Volatility	10.33
		1 Sigma Vol	13.25
		1 Sigma DOWN	2760.50
		2 Sigma DOWN	2747.00
		3 Sigma DOWN	2733.75

Setup

Copy ./.env.default to ./.env

Update .env with your email settings

Example Usage

Call the index.js file from the command line with the following parameters:

$ node index.js {instrument} {tickSize} {sessionStart} {sessionEnd} {period} {commaSeparatedEmailRecipients}

For example:

$ node index.js 'ESU18' 0.25 '08:30' '15:14' 20 '[email protected]'

would generate a volatility report for the ESU18 futures for a session of 8:30-15:14 central, with a 20 period average, and email the report to [email protected]

or

$ node ./index.js 'CLQ18' 0.1 '08:00' '13:29' 20

would generate a volatility report for the CLQ18 futures for a session of 8:00-13:29 central, with a 20 period average, and not send an email (only generates output and markdown report if no email recipients are supplied).

You can also post to a RocketChat channel by adding an additional optional parameter or channel name:

$ node ./index.js 'CLQ18' 0.1 '08:00' '13:29' 20 '[email protected]' '#General'

Don't want to host yourself?

There's a subscription available for various daily email reports at: https://volatilityestimator.com/