Concept
Event-driven Volatility
Event-driven Volatility is a Volatility concept. The Library holds 1 implementations, each one a working definition you can pull into Quant.
Top Event-driven Volatility indicators
1 total
What is Event-driven Volatility?
Event-driven volatility is the share of price variability tied to identifiable catalysts: scheduled releases such as central-bank decisions, inflation and employment prints, and earnings, plus unscheduled shocks. Its defining feature is that timing is often known in advance while the direction and size of the reaction are not. Markets frequently compress ahead of a known release and expand sharply once it lands, a rhythm that macro event days make visible on almost any intraday chart.
Options markets price this explicitly: implied volatility tends to be bid into a known event and to fall once the uncertainty resolves. On price charts the footprint is gaps, wide-range bars, and whipsaws that run both directions within minutes of the release.
How traders use it
- As a filter: many intraday systems stand aside, cut size, or widen stops in a window around scheduled releases, because spreads widen and fills degrade exactly when the number hits.
- As a setup: some traders wait for the initial two-sided whipsaw to resolve and trade the subsequent range expansion, accepting that the first move often reverses.
- As hygiene for volatility estimates: tagging event bars keeps one-off spikes from distorting trailing measures like ATR that feed stops and sizing.
Related concepts · Regime & compression
Concept family
Volatility
56 concepts mapped · 43 in the Library
Event-driven Volatility FAQ
Can you predict volatility from an economic calendar?
Partially. A calendar tells you when uncertainty resolves, and volatility around major releases is typically elevated compared with quiet periods, so the timing is the forecastable part. Direction and magnitude are not: an in-line print can produce almost no reaction, while a surprise can gap price through nearby levels. Calendars are for managing exposure to volatility, not for predicting returns.
Should you avoid trading during news releases?
It depends on the strategy. Around major releases spreads widen, liquidity thins, and price can spike in both directions before choosing one, which is hostile to tight stops and mean-reversion entries; many intraday models filter those windows out entirely. Strategies built for post-event expansion accept those conditions deliberately. Either choice is defensible; ignoring the calendar is the approach that is hard to defend.
Build Event-driven Volatility your way.
Quant writes, tests, and refines it with you — then it runs on LuxAlgo charting or ports to TradingView.