Yang-Zhang Volatility (YZVol) by CoryP1990 – Quant Toolkit

The Yang-Zhang Volatility (YZVol) estimator measures realized volatility using both overnight gaps and intraday moves. It combines three components: overnight returns, open-to-close returns, and the Rogers–Satchell term, weighted by Zhang’s k to reduce bias.

How to read it

Line color: Green when YZVol is rising (volatility expansion), Red when falling (volatility compression).

Background: Green tint = above High-vol threshold (active regime). Red tint = below Low-vol threshold (quiet regime).

Units: Displays Daily % by default on any timeframe (values are normalized to daily). An optional toggle shows Annualized % (√252 × Daily %).

Typical uses

Spot transitions between quiet and active regimes.

Compare realized vol vs implied vol or a risk-target.

Adapt position sizing to volatility clustering.

Defaults

Length = 20

High-vol threshold = 5% (Daily)

Low-vol threshold = 1% (Daily)

Optional: Annualized % display

Example — SPY (1D)

During the 2020 crash, YZVol surged to 5.8 % per day, capturing the height of pandemic-era volatility before compressing into a calm regime through 2021. Volatility re-expanded in 2022 due to reinflamed COVID fears and gradually stabilized through 2023. A sharp, liquidity-driven volatility event in August 2024 caused another brief YZVol surge, reflecting the historic one-day VIX spike triggered by market-wide risk-off flows and thin pre-market liquidity. A second, policy-driven expansion followed in April–May 2025, coinciding with the renewed U.S.–China tariff conflict and a sharp equity pullback. Since mid-2025, YZVol has settled near 1 % per day, with the red background confirming that realized volatility has once again compressed into a quiet, low-risk regime.

Part of the Quant Toolkit — transparent, open-source indicators for modern quantitative analysis. Built by CoryP1990.