Historical Volatility

RECENT NEWS
Reuters  Aug 27  Comment 
Wall Street will fixate on a wave of U.S. economic data next week, crested by payrolls data on Friday that could sway expectations about the timing of future interest rate hikes and spark volatility in record-high stock prices.
The Hindu Business Line  Aug 27  Comment 
US stocks ended modestly lower after a volatile session on Friday, having bounced between gains and losses as investors wrestled with the likely timing of a US interest rate hike following comments f...
Yahoo  Aug 26  Comment 
Oil prices were largely unchanged on Friday in a volatile session, as traders reacted to comments from Fed Chair Janet Yellen and reports of missile activity in Saudi Arabia. The market was taking its cues from the movement in the dollar, which...
The Hindu Business Line  Aug 26  Comment 
Barring imported palmolein that rose by ₹5/10 kg on tight supply, all other edible oils declined on Friday on eased demand amid thin volatility in futures. Local refineries kept their rates unchanged...
Benzinga  Aug 26  Comment 
2191.75 - All-time-high 2186.75 - Intraday high as of 10:25 PM 2186.00 - All-time closing high 2185.00 - Current price as of 10:25 PM 2173.50- Thursday close If content like this is useful to your trading/investing...
The Economic Times  Aug 26  Comment 
Bank of America joins strategists at UBS Securities LLC in warning investors to prepare for a mean reversion in volatility.
Reuters  Aug 26  Comment 
Oil prices were modestly higher on Friday in a volatile session, as traders reacted to comments from Fed Chair Janet Yellen and reports of missile activity in Saudi Arabia.




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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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