Definition
#Measures the statistical rarity of the current window's high-to-low price range relative to the historical distribution of that same range for this instrument and timeframe. A positive value means the current window is wider than usual; a negative value means conditions are unusually compressed.
Formula & calculation
#Live volatility:
((Max High − Min Low) / Window Open Price) × 100Z-Score:
(Live Volatility − Historical Mean Volatility) / Historical StdDev VolatilityThe historical baseline accumulates the same range calculation across prior completed windows of the same length.
Units & range
Z (standard deviations). Unbounded. Positive = wider than historical norm. Negative = tighter than historical norm.
Interpretation
#Positive values (> 2.0): the current window's price range is unusually wide for this instrument. A news event, a liquidation cascade, or a breakout could explain it.
Near zero: the current range is within its historical norm. No structural change in volatility.
Negative values (< −1.5): price action is unusually compressed. Ranges this tight often come before a sharp move.
The normalization uses each instrument's own history, so the same threshold applies to BTC and a mid-cap altcoin.
Near zero: the current range is within its historical norm. No structural change in volatility.
Negative values (< −1.5): price action is unusually compressed. Ranges this tight often come before a sharp move.
The normalization uses each instrument's own history, so the same threshold applies to BTC and a mid-cap altcoin.
Practical usage
#Breakout confirmation: require Volatility Z-Score > 2.0 alongside an elevated Buy Volume Z-Score and a positive Current Window Return. Without those, a wide range is noise.
Compression scanner: filter for Volatility Z-Score < −1.5 to build a pre-breakout watchlist. Tight ranges paired with declining volume tend to precede sharp moves.
Noise filter: when Volatility Z-Score is near zero and volume z-scores are elevated, volume is absorbing inside a normal-sized range. Price is holding flat. Treat it as accumulation or distribution developing, not a trade entry.
Compression scanner: filter for Volatility Z-Score < −1.5 to build a pre-breakout watchlist. Tight ranges paired with declining volume tend to precede sharp moves.
Noise filter: when Volatility Z-Score is near zero and volume z-scores are elevated, volume is absorbing inside a normal-sized range. Price is holding flat. Treat it as accumulation or distribution developing, not a trade entry.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Confusing this with Current Window Volatility. That metric gives you the absolute range size. This one tells you whether that size is unusual for the specific instrument.
- Using a positive Volatility Z-Score as a directional signal. A wide range has no direction on its own. Pair with Net Taker Imbalance and Current Window Return before acting.
- Ignoring negative readings. A range compressing below its historical baseline signals a coiling market, not routine quiet.
Timeframe note
#This metric applies to rolling windows such as 5m, 15m, and 60m. The underlying definition stays the same; what changes is the time horizon used to measure it. Shorter windows react faster, while longer windows smooth noise and emphasize broader structure.
5m
Faster response to fresh changes in activity and short-horizon structure.
15m
Balanced view between responsiveness and persistence.
60m
Broader context that is slower but more stable.