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volatility-trading
Python volatility estimators based on Sinclair's Volatility Trading
What it is
A Python library of volatility estimators drawn from Euan Sinclair's book Volatility Trading, including Garman Klass, Parkinson, Rogers Satchell, Yang Zhang, Hodges Tompkins and standard deviation, plus skew, kurtosis and correlation. For each estimator it can plot probability cones, rolling quantiles, extremes, descriptive statistics, histograms, and comparisons or regressions against an arbitrary benchmark, and generate a multi-page PDF term sheet. Traders and quants studying options volatility who want to reproduce published methods in code will find it useful. Yahoo! Finance data acquisition broke with API changes, so users must supply their own data, for example via CSV with the included helper.
At a glance
Research onlyOur rating, based on popularity, maintenance and how ready it is for real use.
| Best for | Professional quants |
|---|---|
| Used for | Strategy research, Data analysis |
| Markets | Multi-market |
| Stack | Python |
| Learning curve | Moderate learning curve |
| Practical value | Medium practical value |
| Cost | Free and open source |
| Hardware | No GPU needed |
| Maintenance | No commits in over six months |
GitHub stars, last 30 days
Daily snapshots since 2026-09-12 (up to 30 days): +4 over the period, now 1,958. Gaps mean no snapshot was taken that day.
A complete set of volatility estimators based on Euan Sinclair's Volatility Trading.
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