7

Is there an indicator for the volatility of a stock? When I say indicator I mean like P/E ration, book value etc. If yes, where can I find it? I follow yahoo finance by the way.

  • are you looking for one that is pre-packaged or one that you can calculate yourself? What level of granularity do you need? Is this for intraday trading or to invest over the medium to long term? – MD-Tech Dec 8 '17 at 10:18
  • I would like it pre-packaged. I would also like to know how to calculate it. I would like to know the volatility of the stock let's say the last 5 years so I can swing trade – Grandmaster Dec 8 '17 at 10:38
  • prepackaged is off topic for the site but I can give you a hint in the answer to the second question. By granularity I meant whether you need the volatility on a tick, end of day or end of week basis. If you are swing trading you probably need tick data which is a pain. Have a look at RiskGrade (TM) volatility. I don't work for them and it isn't a recommendation as I'm not sure about their methodology. – MD-Tech Dec 8 '17 at 10:42
6

Beta is the measure of volatility and typically available on most stock and often mutual funds information pages.

For a full explanation of Beta

The chart for FB on yahoo finance:

FB Yahoo Finance.

  • no -1 but beta isn't very useful when trading between markets as it is a reflection of the volatility against the stock's market. – MD-Tech Dec 8 '17 at 13:48
  • If you had said "a measure", it would have been a closer call, but "Beta is the measure of volatility" gets a definitw -1 from me. – Acccumulation Dec 11 '17 at 16:01
5

To calculate it yourself you need to calculate the standard deviation (or variance but that is just the standard deviation squared) of the returns. Unfortunately the returns on stocks are distributed log-normally rather than normally but that isn't a problem as you can simply calculate it by log(p_t)-log(p_t-1) where p_t is the price for the current period and p_t-1 is the price for the previous period. This is simple to do in excel with a small catch; since you probably need intraday volatility for swing trading since you won't be holding the position over a significant time period you will need tick level data to calculate this and there can be billions of ticks a day for liquid stocks in a lively market. I have been writing an R script that does this, amongst other things, and calculates the Value at Risk (VaR) of the position which is a related measure at a set quantile of the distribution. R copes more than admirably with these calculations, other programming languages are likely to be about as good.

If you look at different methods of calculating and estimating VaR you'll get a good idea of how professionals quantify risk. Also see the Quant stack exchange.

If you're looking for something prepackaged have a look as RiskGrade volatility which is calculated similarly but which may be expensive and not available for all stocks or markets.

Note that beta mentioned in another answer is not ideal if you are trading between markets as it only takes into account the volatility compared to the market so doesn't include things like systemic risks which are removed by the expected market rate of return (read about CAPM for more details).

2

There are two:

  • Implied Volatility - the volatility in the underlying market implied by the price of options; and
  • Historical Volatility - the volatility of the underlying security based on its recent history.

Implied Volatility is shown on the Yahoo Options Screen for each option: Implied Volatility of TSLA options

Historical Volatility can be calculated, but will depend on your calculation methodology. Some brokers provide historical volatility information in their trading platforms.

Historical Volatility (HV) based on closing price & Implied Volatility of options in the security based on closing price from a trading platform

  • Could use a discussion of beta and more explanation of implied and historical volatility, but +1 – Acccumulation Dec 11 '17 at 16:04

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