Message

ScreenerVolatilityState

Annualized realized volatility for the parent state date and its paired variance risk premium. Values are fractions, so 0.20 means 20 percent. The realized-volatility window starts 20 market opens before the parent state date and includes both endpoints.

fields2 used byStockScreenerState

▶Proto definition.proto

message ScreenerVolatilityState {
  Decimal realized_volatility = 1;
  Decimal variance_risk_premium = 2;
}

Fields

realized_volatility Decimal 1

Annualized sample standard deviation of available daily log returns dated from the window start through the parent state date. The inclusive window can contain up to 21 returns. The first return compares the window-start close with the preceding session's close. Calculated as stddev(daily_log_returns) * sqrt(252) and rounded to six decimal places. Absent when fewer than two returns are available.

variance_risk_premium Decimal 2

Thirty-day implied volatility observed on the window start date minus realized_volatility. The observation date is not included in this message.