Historical Volatility

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The Economic Times  7 hrs ago  Comment 
The argument is essentially: All of the fundamentals, including an improving economy, and low volatility remain in place. Nothing has changed that would derail the market.
Benzinga  10 hrs ago  Comment 
Shares of VMware (NYSE: VMW) are rocking up and down after the company announced second quarter earnings results. "We continue to see strong performance across our business, further evidence that VMware is uniquely positioned as IT transitions...
The Hindu Business Line  Jul 22  Comment 
Sugar prices on the Vashi wholesale market ruled range-bound with thin volatility on Tuesday following routine activities. Ample stocks and supply kept the volume need-based and limited. As produc...
Motley Fool  Jul 22  Comment 
The price of cotton is changing rapidly. What's the outlook for iPath DJ-UBS Cotton TR Sub-Idx, iPath Pure Beta Cotton, and Culp?
SeekingAlpha  Jul 22  Comment 
By Amit H. Shah: Since the advent of the modern portfolio theory, asset allocation is thought to be one of the most important aspects of investment. The theory assumes that risk equates to volatility and then states that risk is positively...
SeekingAlpha  Jul 22  Comment 
By Russ Koesterich: Despite recent market swings, volatility is still very low by historic standards, suggesting that markets aren't taking into account the prospect of bad news and that investors should prepare for more turbulence ahead. Last...
Clusterstock  Jul 21  Comment 
FA Insights is a daily newsletter from Business Insider that delivers the top news and commentary for financial advisors. BlackRock: 'Investors Should Buckle Up For More Volatility Ahead' (BlackRock Blog) "…The tragic downing of a Malaysian...
Forbes  Jul 21  Comment 
A flurry of earnings and economic news this week may divert the stock market’s attention away from global violence—at least for now.
Forbes  Jul 21  Comment 
The PowerShares S&P 500 Low Volatility Portfolio ETF (SPLV) is seeing unusually high volume in afternoon trading Monday, with over 7.7 million shares traded versus three month average volume of about 684,000.  Shares of SPLV were down about 0.4%...




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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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