Historical Volatility

RECENT NEWS
The Economic Times  5 hrs ago  Comment 
Domestic equity indices are likely to open on a flat note. Volatility may rise ahead of Thursday's expiry of September series futures.
WA Business News  10 hrs ago  Comment 
Oil has settled up three per cent as the world's largest producers gathered in Algeria to discuss ways to support prices, with nervous trade driving volatility to its highest since a similar meeting to freeze output in April in Doha which failed.
The Australian  Sep 26  Comment 
The oil giant expects prices to stay volatile in the near term as it prepares for an initial public offering in 2018.
Benzinga  Sep 26  Comment 
Timing individual investment factors, such as low volatility, is difficult. Entering 2016, who knew that exchange-traded funds such as the PowerShares S&P 500 Low Volatility Portfolio (PowerShares Exchange-Traded Fund Trust II (NYSE: SPLV)) would...
newratings.com  Sep 26  Comment 
WASHINGTON (dpa-AFX) - Crude oil prices were higher Monday morning after showing a lack of direction in recent weeks. Oil has been stuck near $45 as traders await the outcome of the OPEC meeting in Algiers that may result in a deal to curb...
New York Times  Sep 26  Comment 
The relatively large number of undecided voters is partly responsible for the volatility in polling and may point to the importance of the debates.
guardian.co.uk  Sep 26  Comment 
Shares are down, volatility is up, and the Mexican peso is under pressure ahead of presidential debate between Hillary Clinton and Donald Trump (at 9pm New York/2am BST) Latest: Dow Jones closes down 166 points Volatility jumps as investors...
Reuters  Sep 26  Comment 
Oil settled up 3 percent on Monday as the world's largest producers gathered in Algeria to discuss ways to support prices, with nervous trade driving volatility to its highest since a similar meeting to freeze output in April in Doha which failed.




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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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