Historical (Natenberg) Volatility is one of forex technical indicator used in forex technical analysis by many traders. Historical Volatility calculates the variance of fluctuations in a security over time.

Historical volatility is defined by Sheldon Natenberg, as the standard deviation of the logarithmic price changes measured at regular intervals of time. In Mr. Natenberg’s book, Option Volatility & Pricing, he covers volatility in detail and gives the formula for computing historical volatility.

Historical volatility uses historical (daily, weekly, monthly, quarterly, and yearly) price data to empirically measure the volatility of a market or instrument in the past. The value rendered by a historical volatility study is the standard deviation of bar-to-bar price differences.

On all historical charts, price differences are measured on a settlement-price to settlement-price basis. To calculate the historical volatility study, you must first identify the mean and then calculate the standard deviation.