Historical Volatility

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Clusterstock  5 hrs ago  Comment 
Volatility traders haven't been this sure of a stock market shock in almost two years. These investors buy and sell options on the CBOE Volatility Index, or VIX, as they predict swings (or a lack thereof) in the S&P 500. The VIX typically spikes...
The Hindu Business Line  6 hrs ago  Comment 
The bi-monthly monetary policy statement by the RBI has assessed that international financial markets have been resilient to political uncertainties. Volatility has declined, except for sporadic r...
Benzinga  Aug 1  Comment 
Snap Inc (NYSE: SNAP) traders expecting volatility surrounding the beginning of a massive lock-up expiration period Monday were not disappointed, as the stock whipsawed up and down throughout the session. However, Snap bulls hoping that the lockup...
MarketWatch  Aug 1  Comment 
The price of the digital currency bitcoin fell on Tuesday, amid volatility stemming from a “split” in the cryptocurrency that occurred earlier in the day.
The Hindu Business Line  Aug 1  Comment 
The Zinc futures contract on the Multi Commodity Exchange (MCX) was volatile in the past week. The contract made a high of ₹184.45 a kg on July 26 and had reversed sharply lower from there. The contra...
Financial Times  Aug 1  Comment 
Low volatility encourages risk taking, as does rising prices
New York Times  Jul 31  Comment 
Anthony Scaramucci was named communications director on July 21 and removed July 31. Here are the highlights from the moments in between.
TechCrunch  Jul 31  Comment 
 After months of watching Snap’s volatile ride on the stock market from the sidelines, some insiders will be allowed to sell their shares Monday. Known as the “lockup period,” employees and early investors of companies are generally...




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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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