How is a volatility extreme identified?

Volatility Extreme

A volatility extreme is determined by examining past values and identifying where the current value falls in the range of past values. This is usually measured as a percentile.

Assume we have the following volatility measures over the last 10 days and the value today is 14. Notice that the values on Day #1 and #3 are less than 14 and all other values are greater. Since 14 is the third smallest out of ten, it would be at the 30th percentile (3/10).

When we do this calculation each day, we use at least 100 past values. When current volatility is at or less than the 5th percentile it is considered at an extreme low. When it is at the 95th percentile, it is at an extreme high.