Historical Volatility

Benzinga  6 hrs ago  Comment 
Speaking to Benzinga, TD Ameritrade Chief Strategist JJ Kinahan said that volatility for J C Penney Company Inc (NYSE: JCP) was, based on historical volatility, at its first percentile. "[It's] opposite of what people would expect" because...
Reuters  Feb 26  Comment 
Atlantic natural gas markets are seeing some of the biggest price swings in years as volatile European trade, freezing U.S. weather and Brazilian demand leave tankers torn over where to sail.
The Economic Times  Feb 26  Comment 
"By next week, we will have more clarity as to what is going to pass and what isn't going to. Whichever way it turns out, I expect volatility in the markets."
The Hindu Business Line  Feb 25  Comment 
Edible oils witnessed thin volatility with lower volume on Wednesday, tracking weak Malaysian palm oil futures amidst slack demand. Prices were mixed on the Bombay Commodity Exchange. Groun...
Financial Times  Feb 25  Comment 
Volatility to rise if Fed acts sooner than assumed by bond markets
The Australian  Feb 25  Comment 
GOLDMAN Sachs chief David Solomon says currency wars and commodity price volatility won’t dampen enthusiasm for cross-border mergers and acquisitions.
The Hindu Business Line  Feb 24  Comment 
The rupee on Tuesday strengthened 11 paise against the dollar to close at 62.20 ahead of the Union Budget announcement and US Federal Reserve chief’s testimony to the Congress. The Union...


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.

Related Articles

Wikinvest © 2006, 2007, 2008, 2009, 2010, 2011, 2012. Use of this site is subject to express Terms of Service, Privacy Policy, and Disclaimer. By continuing past this page, you agree to abide by these terms. Any information provided by Wikinvest, including but not limited to company data, competitors, business analysis, market share, sales revenues and other operating metrics, earnings call analysis, conference call transcripts, industry information, or price targets should not be construed as research, trading tips or recommendations, or investment advice and is provided with no warrants as to its accuracy. Stock market data, including US and International equity symbols, stock quotes, share prices, earnings ratios, and other fundamental data is provided by data partners. Stock market quotes delayed at least 15 minutes for NASDAQ, 20 mins for NYSE and AMEX. Market data by Xignite. See data providers for more details. Company names, products, services and branding cited herein may be trademarks or registered trademarks of their respective owners. The use of trademarks or service marks of another is not a representation that the other is affiliated with, sponsors, is sponsored by, endorses, or is endorsed by Wikinvest.
Powered by MediaWiki