jasonstrimpel/volatility-trading
A complete set of volatility estimators based on Euan Sinclair's Volatility Trading observed · 2026-08-28
Health v2 · maintenance only
32/100
- Activity 0
- Release rhythm 35
- Longevity 100
Flags: no_releases
How is this computed?
round(0.45*activity + 0.35*rhythm + 0.20*longevity); archived -> min(score, 10) — computed 2026-09-03. Adoption (stars, forks) is never an input.
- gap_med: n/a
- age_days: 4463
- days_rel: n/a
- days_push: 681
- n_releases_24m: 0
Adoption not part of the score
1945 stars · 411 forks observed · 2026-08-28
What it is AI-extracted, prompt v1, taxonomy v1, 2026-08-30, confidence not recorded
A Python library providing a complete set of volatility estimators (Garman Klass, Parkinson, Rogers Satchell, Yang Zhang, etc.) based on Euan Sinclair's book Volatility Trading. It also generates visualizations like probability cones, rolling quantiles, and PDF term sheets of volatility metrics.
Use cases
- estimate realized volatility from OHLC price data
- plot volatility probability cones for options trading
- compute rolling quantiles and extremes of volatility
- compare a stock's volatility against a benchmark like SPY
- generate a PDF term sheet of volatility statistics
- calculate skew, kurtosis, and correlation of returns
When to avoid
- you need intraday or real-time volatility estimation
- you want a full backtesting or options pricing framework
- you need estimators beyond the classic set (e.g., GARCH)
Facets
library · maturity maintenance
data-science data-visualization math trading fintech data-science analytics mathematics python cross-platform volatility-estimators quantitative-finance options-trading garman-klass parkinson yang-zhang probability-cones
1 source
- readme: https://github.com/jasonstrimpel/volatility-trading · fetched 2026-08-28 · 992fa5054550
Member repositories
| Repository | Role | Health v2 |
|---|---|---|
| jasonstrimpel/volatility-trading | main | 32 |
For agents
markdown · JSON · MCP: product_card(name="jasonstrimpel/volatility-trading")
Data as of 2026-08-30T08:39:29.467469+00:00 · Report a problem