Historical Volatility

RECENT NEWS
Side ways trend for Turmeric demand for crop may pick up
Commodity Online  11 hrs ago  Comment 
Short term trend likely to be very volatile but a fall in sowing area and delayed arrival of the new crop due to delayed Monsoon last year keeps overall market sentiments firm.
Wall Street: US stocks end sharply lower after volatile session
The Economic Times  Jan 28  Comment 
Analysts said the Fed statement kept alive the chance of a Fed rate hike in 2015, which Blicksilver called "very worrisome" because it would further lift the dollar.
US stocks end sharply lower
WA Business News  Jan 28  Comment 
TD Ameritrade Chief Strategist On Facebook: Options Volatility Suggests A 6.25% Move After Earnings
Benzinga  Jan 28  Comment 
Speaking to Benzinga, TD Ameritrade Chief Strategist JJ Kinahan noted that the activity in options on Facebook Inc (NASDAQ: FB) demonstrates that both long and short sides are being played by traders. Kinahan added that Facebook is often among...
U.S. stocks give up gains after Fed statement
Reuters  Jan 28  Comment 
U.S. stocks fell slightly in volatile trading on Wednesday after the Federal Reserve said the U.S. economy is on track and it will remain "patient" in deciding when to raise interest rates.
ALPS plans a put write ETF to play market volatility
Market Intelligence Center  Jan 28  Comment 
The U.S. markets have seen a volatile start to the year, thanks to the relentless slide in crude oil prices, worries about a possible exit of Greece from the Euro zone, global economic growth concerns and slumping commodity prices. Rising market...
ALPS Plans A Put Write ETF To Play Market Volatility
SeekingAlpha  Jan 28  Comment 
Government unveils draft norms to operate Price Stabilisation Fund
The Economic Times  Jan 28  Comment 
The PSF, with a corpus of Rs 500 crore, aims to check price volatility through procurement of selected perishable horticulture produce.
Volatile day of trading...
Equitymaster  Jan 28  Comment 
Posted by Equitymaster        The Indian markets had a rather volatile trading session today as the indices oscillated to either side of yesterday's close. At the closing bell, the BSE-Sensex closed lower by about 12 points, while the...
Rupee closes flat in volatile session
The Hindu Business Line  Jan 28  Comment 
The rupee hit a three-month high on Wednesday at 61.26 against the dollar before ending flat at 61.41 tracking the benchmark equity indices and a slightly volatile dollar. The domestic cu...




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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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