Historical Volatility

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The Australian  5 hrs ago  Comment 
RECENT acquisitions and a focus on cost cutting has deliver a boost to APN’s interim profit, but the group has warned advertising markets remain volatile.
Benzinga  11 hrs ago  Comment 
When it comes to biotech stocks, one trait that tends to keep investors away is the same trait that attracts others: volatility. Volatility can be great when the trade goes an investor's way, but it can also wipe out a lot of gains when that...
guardian.co.uk  Aug 19  Comment 
Higher buy-to-let taxes and the introduction of a deposit after an agreement to buy would take the heat out of the market House prices began to cool in May according to official figures. The data from the Office for National Statistics confirms...
Financial Times  Aug 19  Comment 
Renewed boom in credit derivatives being powered by yield-hungry investors and could prove enormously costly once market volatility erupts
Forbes  Aug 18  Comment 
Most measures of stock market volatility have dropped sharply in recent days, despite a blip on Friday. Now macro news, including spotty global economic readings and geopolitical rumblings, share the spotlight with a full line-up of retailers’...
Market Intelligence Center  Aug 18  Comment 
In retrospect, last week's bounce shouldn't have been a total surprise.  Most of the market's major indices were approaching major support levels, as we've previously discussed.  Will the momentum continue or will the bearish volatility...
The Economic Times  Aug 18  Comment 
"Investors will weather the volatility caused by global developments, though India will be in a position to attract more than its fair share of flow."
SeekingAlpha  Aug 17  Comment 
By Michael A. Gayed, CFA: "I don't want to be interesting. I want to be good." - Ludwig Mies van der Rohe I've finally gotten a chance to get back from weeks of traveling presenting our award winning papers on predicting corrections and...
Times Online  Aug 17  Comment 
Head teachers at hundreds of secondary schools are braced for volatile GCSE results this week after policy changes had a...
Gold Stocks Today  Aug 16  Comment 
Courtesy of Doug Short: Today was a busy one for economic updates: the Producer Price Index, Industrial Production and Consumer Sentiment. But the market was primarily focused on the international scene — most notably the conflict in Ukraine....




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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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