Questions tagged [volatility]
For questions related to measurements of the range of returns for a given equity, bond, or market index.
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Is Implied- and Historical Volatility based on solely Business days?
I'm trying to compare historical and implied volatility for different stocks. Still, since I can't tell what these numbers are based on (for historical volatility) and referring to (for Implied), I'm ...
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confusion about gamma and gamma portfolios
Generally, a long gamma portfolio will make money when the underlying:
(a) out-realizes the historical volatility (measured close to close)
(b) out-realizes the implied volatility (more than making ...
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Duration required for stock beta calculation
I am using stock beta as a parameter for calculating intrinsic value of a stock using DCF method.
I know how to calculate beta of stock, but I want to know what should be length of historical data (...
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Volatility cost of buying Vanguard ETFs before market open on e-trade
I am buying Vanguard ETFs on e-trade. For the purposes of this question, suppose I am buying VO (a multi-sector mid-cap fund). It is a popular symbol (share class total net assets: 51B).
I typically ...
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What is the real return of a portfolio? Markowitz vs "real" return
I am working with mean variance optimization (MVO) and as such after "training" my model I test the results on a test dataset. Markowitz states that the return of a portfolio is the "...
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General formula to understand standard deviation of a stock price over a time horizon?
A book that I'm reading (Paul Wilmott, Derivatives) states the following:
The standard deviation of the stock price over this time horizon is
$$ \sigma S = \sqrt(1/52) $$
where, the time horizon is ...
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Who is counter party to leveraged ETF e.g TQQQ
I was looking at return of TQQQ, and was surprised with result.
I understand that, it is not equity based ETF, and is using derivatives. But I could not understand who is acting as counter party of ...
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Why would long-term investor care about volatility? [duplicate]
I'm 35 and I want to start investing for my retirement. My question is, why would you care about volatility if your investment horizon is 30+ years? In order to get a more clear picture of volatility ...
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Why have some stocks spiked then crashed, all within 30 days?
I'm referring to stocks that peaked like a mountain than crashed, but that weren't short squeezes. Is this Irrational Exuberance? If you know more examples, just edit this post please.
I know little ...
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What’s the formula to estimate stock price (in a week or month from now) using implied volatility?
Let’s say a stock trades at $45 today and has IV of 92%. I wanna get a rough range of where the stock might be in a week from now, let’s say $32 to $58 in a week, based on the IV 92%. How do I get ...
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How is "beta" relevant to long-term ETF investors?
A portion of my investment portfolio is in index-tracking ETFs. On the whole, my ETF portfolio is diversified across many countries and industries. I intend to hold these ETFs for 20-40 years. I ...
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How to calculate a trailing stop loss for a gamma squeeze?
I'm pretty sure AMC is going to hit crazy prices in a couple of weeks to months. A Korean AI traded fund just dumped Facebook and Wallmart for AMC. Plus, I got in a pretty big fight with some ...
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Rapids (RPD) cryptocurrency: 3190500% increase in 1 hour
I noticed that the price of Rapids (RPD) cryptocurrency increased by 31,915,000% (market cap: $400bn) in 1 hour yesterday on 8th May. Shortly after (5-10 minutes), the price dropped by 99.6% (market ...
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How do stock volatility halts work?
I was watching GME stock on Feb 24, 2021, and it halted twice:
once at 3:38pm ET, and it resumed trading at 3:43pm ET
again at 3:46pm ET, and it did not resume trading until after 4:00pm ET
This is ...
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Why can’t I short Game Stop right now?
I attempted to put in a small short sell order for GME (since I believe the price is currently way overvalued at >$300), but it said the order could not be performed because there are no available ...
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Best place to keep savings for home down payment?
I'm currently saving for a first home down payment (in USA), but don't want to keep a large pile of money sitting in a low-yield savings account while I'm looking for the right home. I want to find a ...
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Buy and hold VIX futures for guaranteed profit?
This question was inspired by this Motley Fool article: VIX Investing: Why Not Just "Buy Low Fear, Sell High Fear"?
Buying low fear and selling high fear seems to be a guaranteed profit ...
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If the UVXY and SVXY ETFs both track the same VIX futures, why are they so different?
Both UVXY (https://www.etf.com/UVXY) and SVXY (https://www.etf.com/SVXY) track the first- and second-month VIX futures positions. SVXY, however, is an inverse tracker while UVXY is not. What I don't ...
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Mysterious stock dips [duplicate]
I am relatively new to the stock market and might not know all the useful terminology, so bear with me as I will do my best to explain what I am trying to grasp and hopefully I will be able to learn ...
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At what % about the stock price should I sell and take my profits? [closed]
at what percentage above the cost price should you walk? prices fluctuate therefore? what should the end point be?
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How does one lose money when reasonably buying with leverage?
I'm one of the newbie retail investors that this guy (and presumably a lot of his colleagues) seem to hate.
Ironically, my biggest loss was from agreeing with specialists that the recent rally is ...
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Very short-term drop in stock price
When looking at stock price charts, you sometimes see a large drop in the price for just a short amount of time.
Is this simply an error in the presentation of the chart, or has the price actually ...
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Difference of NAV and market price on stock shares and funds
For the case of companies, my understanding is that the NAV (net asset value) is all its assets minus its liabilities. Then, this value is divided by the total number of shares the company has issued ...
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Ballpark range for an IV Crush
I would love to enter a few options trades but have learned (the hard way) that moves from high to low IV can mess the returns even when calling the right direction of the move. This is explained in ...
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Calculating volatility percentage for a given time period
I am looking at an EMEA liquidity report.
One measure I am interested in is the volatility. The report includes a list of various indexes and the "Average Volatility " for a period of 5 days ...
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Why did the VIX trade for so much around Q4 2011?
It looks like the TVIX in 2011 was trading at some unimaginable prices. $2B USD? Marketwatch has these same numbers.
Were these numbers real? How? This seems like an amazing bit of trivia from ...
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Why isn't "everyone" short VXX?
I'm going to attempt to keep this question short instead of providing some rambling, and very likely, wrong explanation of the question.
As far as I can tell from my novice research the VXX note is ...
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For a mutual fund - if jensen's alpha keeps increasing with time, then how does beta of the mutual fund get impacted with time?
I am building an excel model to calculate rolling alpha at a monthly level to analyze different equity mutual funds. Along with the rolling alpha, I am also calculating rolling absolute returns and ...
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What possible reasons are behind the GBP -> EUR rate being the same for a few days?
The GBP -> EUR exchange rate has been stuck at a value of 1.11 since Saturday 7 of September, up from 1.10 since the day before. This seems to me highly irregular, as if all trading activity has ...
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Can ETF be short-squeezed?
Can ETFs be short-squeezed? I'm not familiar with how they work.
For ETFs like SPY, it seems it buys and sells stocks in the portfolio.
For ETFs like UVXY, it seems it has no real stocks.
How does ...
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What's the difference between a variance swap and a long straddle option trade?
A long straddle is when one is anticipating a swing in stock price, but you’re not sure which direction it will go.
And a variance swap is a financial derivative used to hedge or speculate on the ...
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Is it likely for large buy to open orders to be filled on thinly traded options?
Suppose you are very bullish or bearish on a stock but its options are thinly traded. Some stocks have an options market that doesn't exceed $200,000 even around earnings time.
Say you want to ...
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What are the most highly leveraged ways for a retail investor to bet against volatility (or inverse volatility)?
I am aware that there is an inverse VIX ETF, but it is not leveraged. The only other way I can think of is to buy VXX puts? Is there another method I am not aware of that provides more leverage?
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Is the limiting factor in the volume of the options market options sellers or option buyers?
For example, options trade volume is less than that of equities, and most option trading is concentrated amongst a small group of top companies.
However, that doesn't mean that there are profitable ...
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How come none of the VIX ETFs track the index exactly? [duplicate]
For example the VXX ETF (https://finance.yahoo.com/quote/VXX) does not track the index exactly (https://finance.yahoo.com/quote/%5EVIX/)
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How was the media able to identify that certain VIX put and calls were made by the same entity?
From the article below, how can someone be certain all these trades were performed by the same entity?
To fund it, the investor sold approximately 260,000 VIX puts expiring
in January with a ...
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Options Volatility and Settlement during a merger and acquisition
I'm trying to figure out how the vol of an option on a target change when the deal is a mix of cash stock.
We know that in a cash deal, vol creeps to 0 as the deal collects approvals. Stock deal, vol ...
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Hedge against crypto currency / exchange risk
I have securities that have crypto-currencies (say, XBT/BTC) as a base currency and I want to avoid the tremendous volatility of this market.
There are options for margin trading of sorts (shorts, ...
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Are there speculative ETFs analogous to investment funds?
Are there ETFs that bundle up highly speculative investments with high risk/reward profiles?
For instance, they might currently include Zambian, Nigerian, Brazilian and Venezuelan bonds; ...
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Why does increased volatility always mean higher call prices?
I understand that apparently implied volatility of a call option increases as the underlying price of the stock deviates further and further from the moving average. That mostly makes sense, because ...
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Short term (3-4 yr) positions, willing to take higher volatility [closed]
for my fiancé’s birthday I would like to open her an investment or savings account with a small amount of capital (~$500/1000) to be used as a short term investment account. The goal would be to reach ...
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Why did SPVXSPIT drop 95% in February?
In February 2018, SPVXSPIT (S&P 500 VIX Short Term Futures Inverse Daily Index) seems to have dropped about 95%, but after much googling, there does not seem to be any discussion about this.
The ...
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Where can I find Bitcoin Misery Index?
There has been a lot written about Bitcoin Misery Index:
The index is called the Bitcoin Misery Index (BMI) and was designed as
a trading tool for investors to take advantage of volatility in BTC
...
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Why do large price stocks have larger price fluctuations?
Amazon stock can handily have 40 dollar intraday price fluctuations, but if that happened to Snap or Fitbit, those stocks would go bankrupt. Is there a fundamental reason why price fluctuation sizes ...
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Do stock prices go up and down by percentage or by dollar?
I am studying the term volatility drag. The common example is that I invest $1000 in a company stock. Say, the stock goes down 50% and than goes up 50%. This would result in $250 loss. I would only ...
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Do Stop Loss orders make sense even though they increase volatility?
If most people add Stop Loss orders to their portfolios, then when the market "corrects", then all these SL triggers will fire, but there won't be enough buyers, so prices will fall further, and ...
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Volatility indicator
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.
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When using the VIX index, is it similar to calculating volatility?
Im trying to understand the VIX Index, it gives the implied volatility of the S&P500.
Now if I was to calculate the volatility of the S&P500 using standard deviations of the returns over a ...
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At what point do index funds become unreliable?
Passively investing in exchange-traded funds that track some broad index is often recommended for private investors that don't have the time or expertise for active investment. In particular, index ...
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Price of a call at expiration
I have a covered call that is going to expire in 15 minutes. It's $1.30 in the money. I'd expect with no time value left, the price to equal the intrinsic value ($1.30). However, it's still valued at $...
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