Volatility Z-Score by YX Insights

Quantify market calm and panic. Spot volatility extremes before price reacts.

The Volatility Z-Score indicator measures how current market volatility compares to its historical norm.

It calculates realised volatility over a rolling window and standardises it using a Z-Score, showing when volatility is statistically elevated or unusually quiet.

Readings above +2 Z often indicate periods of stress or event-driven spikes, while values below −2 Z highlight volatility compression. They are conditions that frequently precede sharp breakouts or regime shifts.

This makes it a powerful companion for traders who want to gauge market sentiment, manage risk exposure, or anticipate changes in momentum.

You can adjust both the Volatility Window and the Lookback Period to match your preferred timeframe — from intraday setups to long-term macro charts.

Best used for:

• Identifying volatility expansions or compressions

• Timing breakouts after low-volatility phases

• Managing position sizing and risk levels

• Confirming shifts in market sentiment or liquidity

Features:

• Realised (non-annualised) volatility Z-Score

• Customisable short-term volatility window and long-term lookback period

• Visual guide lines at 0 Z, ±1 Z, and ±2 Z for easy interpretation

• Works across all asset classes and timeframes

Video Tutorial on YouTube:

Credit:

This Indicator is created by Yimin Xu at YX Insights in collaboration with Alex King from Cestrian Capital Research.

Thank you,

Yimin Xu, YX Insights – https://www.yxinsights.com/

Alex King, Cestrian Capital Research – https://www.cestriancapitalresearch.com/