What Statistical Measure Is Commonly Used to Quantify Volatility for Margin Calculations?

The statistical measure most commonly used to quantify volatility for margin calculations is Historical Volatility (HV) or a variation like Exponentially Weighted Moving Average (EWMA) Volatility. HV measures the dispersion of past returns, which is then used to estimate the potential future price movement.

This estimate is a key input for the risk models that determine the initial margin.