Historical Volatility

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TheStreet.com  4 hrs ago  Comment 
NEW YORK ( TheStreet) -- The stock indexes closed mixed on Wednesday as the DJIA ended up 6.62 points to close at 17,673 while the S&P 500 was down 8.52 points to finish at 2,041.51. The Nasdaq lost 11 points to close at 4,716.70 and the Russell...
SeekingAlpha  5 hrs ago  Comment 
Wall Street Journal  5 hrs ago  Comment 
Behind China’s explosive stock rally in recent months has been a ramping up of bets that rely on borrowed money, adding risks to an increasingly volatile market.
MarketWatch  6 hrs ago  Comment 
From Singapore to Switzerland, the epidemic of central banks devaluing their currencies to fight sluggish growth rates amid a dearth of policy options--a trend that some economists have dubbed a currency war--has resulted in the highest foreign...
Motley Fool  9 hrs ago  Comment 
The sliding price of crude oil lets some of the air out of Seventy Seven Energy Inc’s stock.
New York Times  10 hrs ago  Comment 
Though it is sedate in comparison with other stars, our sun is a volatile neighbor, a thermonuclear furnace fueling spectacular storms that send high-energy particles and radiation far out into space.
Yahoo  11 hrs ago  Comment 
Waves of cheap money from central banks have shielded stocks from the volatility besetting currency and commodity markets, but increasing disparities in company earnings forecasts suggest that could soon change. Analyst forecasts for European and...
The Hindu Business Line  Feb 4  Comment 
Oil prices fell in Asia today following a three-day rally as dealers were divided on whether the commodity has bottomed out after a plunge of nearly 60 per cent since June, analysts said.US...




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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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