GarmanKlassVolatility
How wide price has been swinging per one-minute bar over the last N bars; higher means choppier.
Each one-minute bar is scored with the Garman-Klass formula, which takes its high-low range and its open-to-close move. The line is the square root of the average score over the last window bars, so it is a per-bar volatility in decimal terms: 0.0001 means bars swing about 0.01 percent. It is neither a dollar amount nor annualised, and a long wick raises it even when the bar closes where it opened.
How to read it
- The line sits in its own pane below the price, so read its level, not where it sits on the candles.
- Rising means bars are getting wider or their open-to-close moves are getting bigger; falling means the market is quieting.
- The first window-1 bars have no value (19 at the default 20), so the line starts a few bars in.
What it outputs
- Volatility
- Per-bar volatility as a decimal: the square root of the average Garman-Klass score over the last window bars. 0.0001 is about 0.01 percent a bar.
Settings
- window
- How many one-minute bars are averaged, so the lookback in minutes. Higher smooths the line and slows its reaction to a wide bar; lower reacts within a few bars but jitters more. At 1 it shows each bar's own swing.
Pitfalls
- It measures how wide bars are, not which way price moves: a sell-off and a rally with the same bar sizes read the same.
- The reference lines are SPY's one-month readings at window 20. A different window or symbol, or a quieter or busier regime, sits on different levels.
- A reading of exactly 0 needs every bar in the window to be flat (high equals low and close equals open). If that appears, check the bars before reading it as calm.