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Annualized volatility of the trailing year's weekly returns is low; Bollinger Band width is narrow relative to its own recent distribution; Bollinger Bands have sat inside Keltner Channels for most of the trailing 10-week window.
State
Low 1-year annualized volatility co-occurs with narrow Bollinger Bands and Bollinger-inside-Keltner compression
Emergence
Three volatility readings line up: the sign-inverted annualized volatility of 52 weekly returns is high (low absolute volatility), Bollinger Band width is small relative to its own recent distribution, and Bollinger Bands have spent a high fraction of the trailing 10 weeks sitting inside Keltner Channels. The 1-year reading is direction-agnostic; the two squeeze readings describe band-width compression on different reference frames (history-of-bandwidth vs Keltner-channel-relative).
Limits
All three readings describe present-state volatility. None predicts whether compression will resolve in expansion, what direction any expansion will take, or how long the compression will persist. The conventional 'squeeze precedes a sharp move' framing is predictive; the formulas record only the current state. Compression can resolve through gradual range-widening rather than a sharp move.
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Explanation
Three volatility readings co-occur: - Low Annualized Volatility 1y (inverse-vol-1y): sign-inverted annualized volatility of 52 weekly returns (score ≥70 corresponds to annualized volatility ≤27%). Direction-agnostic. - Narrow Bollinger Bands (narrow-bollinger-bands): current Bollinger Band width small relative to its own recent distribution. - Bollinger Bands Inside Keltner Channels (bollinger-inside-keltner): fraction of trailing 10 weeks where BB sat inside KC. The formulas record present-state compression. They do not predict whether or how compression will resolve.
Interpretation
Co-occurrence of a low 1y annualized volatility reading with two band-compression readings on different reference frames (bandwidth-vs-history and BB-inside-KC). The formulas describe present-state compression; they do not predict resolution.
Required Observations
Bollinger Bands Inside Keltner Channels (Compressed Volatility)
Bollinger Bands have sat inside Keltner Channels for most of the recent window, indicating compressed volatility.
Low Annualized Volatility (Stable Weekly Returns)
Weekly returns have varied little across the last 52 weeks.
Narrow Bollinger Bands (Compressed Volatility)
Bollinger Bands have contracted to a narrow width compared to recent history.