Historical Volatility

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Daily FX  3 hrs ago  Comment 
EURUSD experienced a strong rally Monday after two days of retreat.
Benzinga  6 hrs ago  Comment 
Joel Elconin is the co-host of Benzinga's #PreMarket Prep, a daily trading idea radio show. Pandora Media Inc (NYSE: P) shares ended Monday's session lower by $0.70 at $17.69. The issue has been volatile from various comments made at Apple's...
Benzinga  8 hrs ago  Comment 
Volatility gains were tracked across a number of asset classes during several days of choppy trading last week. Last week marked the first time in a month that the S&P 500 (SPX) closed below its 50-day moving average, twice poking below the...
The Hindu Business Line  10 hrs ago  Comment 
Edible oils market witnessed a steady trend tracking thin volatility in futures markets amid slack demand. On the Bombay Commodity Exchange, groundnut oil declined by ₹5 while palmolein ros...
Benzinga  Jun 8  Comment 
With the volatility in interest rates, currencies and oil of late, analysts at Goldman Sachs and Morgan Stanley debated whether it will bleed into equities in two separate notes. Goldman said that "being short [equity-market] vol has paid off...
Wall Street Journal  Jun 8  Comment 
The U.K.’s Debt Management Office raised the prospect that the swings could one day cause investors to balk at buying its bonds at auction.
Reuters  Jun 8  Comment 
Hong Kong's securities regulator urged investors to exercise "extreme caution" in trading Goldin Properties Holdings Limited because the majority of the stock is held by a small group of investors, making it very volatile.
Financial Times  Jun 8  Comment 
Starting point of ridiculously low yields has fuelled volatility




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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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