Volatility Signature Plot

Volatility Signature Plot draws the econometric sampling diagnostic in the space beside price, a first for the library. Realized variance is measured from squared intraday returns at up to six intervals and averaged over completed days, plotted as a curve against interval, the volatility signature plot. A frictionless market would draw a flat line, so the bend at fine intervals is the diagnosis, colored point by point and summarized on a dashboard with a suggested sampling interval.

How to Trade the Volatility Signature Plot?

• Upward fine-end slope: fine-sampled variance runs above the coarse level, bid-ask bounce inflating high-frequency returns; alerted at onset.
• Downward slope: fine-sampled variance runs low, stale quotes or thin trading smoothing the feed; alerted.
• Suggested interval: the finest point still within tolerance of the coarse level is highlighted, the sampling that keeps the most data without absorbing microstructure bias.
• Flat signature: the whole grid inside tolerance, realized volatility insensitive to the sampling choice; alerted when it takes hold.

Volatility Signature Plot Settings

• Interval 1 (min)–Interval 6 (min) (defaults 1, 3, 5, 15, 30, 60), each with an enable toggle: the sampling grid.
• Days To Average (default 20): completed days per point; single-day plots are noise, and the dashboard reports the count used.
• Exclude Overnight Return (default on): keeps overnight jumps out of the intraday question.
• Flatness Tolerance % (default 10): drives both the bias diagnosis and the suggested interval.
• Output Units (default Annualized Volatility %) with Days Per Year (default 252).
• Display: Point Spacing (bars) (default 8), Rightward Offset (bars) (default 5), Show Flat Reference Line, Show Point Values, Show Dashboard (all on, Top Right, Small).

Frequently Asked Questions

What do I do with the suggested interval?

Why exclude the overnight return?

Why do fine intervals show fewer days?