Historical volatility is an often overlooked but valuable input to portfolio construction and back-testing of strategies. It is generally perceived as a measure of riskiness of an investment. Increasing volatility serves as an indication of increasing uncertainty and risk. The opposite is also true, decreasing volatility serves as an indication of decreasing uncertainty and risk. Historical volatility can be used along with other trading patterns, trends, and indicators to identify and filter instruments that exhibit elevated volatility from those that have historically exhibited low volatility. Historical volatility data can also give additional insight into differences in price behavior between markets and asset classes as volatility does not behave in the same way across all asset classes. For example, stock market volatility generally behaves differently than currency volatility and commodity market volatility.

Macro Codex Data provides monthly (21-day) historical annualized volatility data for all markets in the list of available strategies available on the homepage. Open contract strategies are updated daily and historical data is available for expired contracts extending back to 1974 or contract inception, whichever is earlier. To help identify and quantify risk concentration, historical volatility data is calculated for flat price contracts including open, high, low and daily settlement price data. In addition, daily historical volume and open interest values are provided with open interest data delayed by one day.

 
Historical volatility data is used for gaining perspective when back testing investment strategies and evaluating portfolio attribution and is particularly relevant when faced with the task of analyzing the risk-adjusted performance of investment strategies when historical implied data is simply not available.