Historical Volatility

RECENT NEWS
SeekingAlpha  48 min ago  Comment 
By Scott Martindale: Last week brought even more stock market weakness and volatility as the selloff became self-perpetuating, with nobody mid-day on Wednesday wanting to be the last guy left holding equities. Hedge funds and other weak holders...
The Economic Times  2 hrs ago  Comment 
On the global front there will be volatility, but it may last for a couple of months. After that things will stabilise & once again domestic factors will come to the fore.
Financial Times  5 hrs ago  Comment 
Europe soft but Asia and US futures rally
Wall Street Journal  6 hrs ago  Comment 
The Fed is likely to end its bond-buying program this month even as market volatility and uncertainties about the global economy have rattled investors and led to some mixed messages from central-bank officials.
New York Times  6 hrs ago  Comment 
The Federal Reserve still plans to wrap up its bond-buying campaign at the end of October and remains likely to raise interest rates in mid-2015, although it now seems less likely to act sooner, analysts say.
Wall Street Journal  7 hrs ago  Comment 
Banks may not be finished tightening their belts, with low interest rates likely continuing to squeeze the profitability of lending and trading remaining a volatile source of revenue.
Wall Street Journal  7 hrs ago  Comment 
Asia shares traded higher Monday, led by a 3.4% bounce in the Japanese market as investors bargain-hunted in the region following global volatility last week.
Bloomberg  10 hrs ago  Comment 
When markets are buckling and volatility is signaling a crisis, you sell what you can, not what you want.
SeekingAlpha  Oct 19  Comment 
By Ian Bezek: With the recent spike in the volatility, the idea of shorting volatility products is back in the forefront. Given that volatility tends to revert after spikes higher, the general trade idea is sound and generally quite profitable....
SeekingAlpha  Oct 19  Comment 
By Yorkville Investor: Bet Against Risk by Investing in Volatility The funny thing about risk is that it spends so much of its time being invisible. For almost 2 years, the S&P 500 (NYSEARCA:SPY) has been engaged in a steady ascent until the...




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Volatility refers to the tendency of prices to change unexpectedly, usually as a response to new information or changes in demand for the investment. Volatility can be defined as an investment's tendency to move up and down in price over the latest n periods.

A security with high volatility has bigger fluctuations in price compared to a security with low volatility. The more quickly a price changes up and down, the more volatile it is. As such, volatility is often used as a measure of risk.

For example: A stock whose price went up 10% yesterday and went down 25% today is more volatile than a stock which increased 2% in both days.

Historical volatility is calculated by looking at past changes in stock price. The standard deviation of percentage changes in price is used to calculate observed volatility within the considered timeframe.

Historical Volatility, which looks at the past, is distinct from Implied volatility, which represents expectations about future fluctuations in price and is calculated by looking at the prices of options on the underlying investment.

Volatility is also different from Beta, which is a measure of how the stock price reacts to changes in a broad market index, such as the S&P 500.


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