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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1answer
74 views

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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1answer
26 views

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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1answer
69 views

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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2answers
405 views

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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1answer
30 views

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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0answers
77 views

Any ETF composed of high volatility stocks? [closed]

Question I am looking for American stocks showing high price variance (volatility) Rather than calculating historical price change to check the individual stock's variance, I would like to find a "...
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1answer
188 views

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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1answer
126 views

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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1answer
247 views

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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1answer
64 views

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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3answers
199 views

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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2answers
61 views

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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1answer
98 views

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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1answer
141 views

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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2answers
75 views

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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2answers
159 views

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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0answers
294 views

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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3answers
395 views

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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2answers
107 views

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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1answer
95 views

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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1answer
4k views

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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3answers
176 views

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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2answers
371 views

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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1answer
108 views

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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3answers
817 views

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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118 views

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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6answers
8k views

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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1answer
71 views

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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2answers
115 views

How to continuously plot futures data

Since futures trade on a contract by contract basis, how can you plot the price over an extended period of time? As a reference I have included a plot of VX futures (VIX CBOE volatility index) from ...
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1answer
418 views

What's overnight volatility?

https://www.ig.com/uk/view-ig/2016/09/20/the-central-bank-fest-ramps-up-34452 In the FX market, USD/JPY is the pair to watch through Asia today, with the options market showing implied overnight ...
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3answers
9k views

How do I calculate drift from a series of stock prices?

Say I have stock prices 100 120 140 160 180 200 210 .... X every day for a year. How do I calculate drift and volatility? I am trying to find some formulas online, but I am confused by terms ...
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1answer
86 views

What is Risk Parity?

Just heard this term used on TV. It seemed to be referring to some sort of automation. How does risk parity stabilize/flatten the markets?
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1answer
124 views

In option pricing formulas, is the volatility and short rate a decimal or a percentage?

In the BS option pricing formula, when entering values for volatility and short rate, do we enter them as percentages or decimals? Take the time unit to be a year, i.e. if we want to price something ...
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1answer
232 views

How to deal with activist targeting of individual stocks?

My portfolio contains stocks in specific American companies which I bought when I figured their stock was underpriced. Now there are public attacks against some of these individual companies that ...
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2answers
413 views

What are some signs that the stock market might crash? [closed]

I have about one year of experience as an investor and my goal is to aggressively grow my portfolio over the next 40 years for retirement. I have had good success achieving my goal over the last year ...
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1answer
130 views

What does “half weighted” mean in this context?

The flip side of a strong dollar is weakness in other currencies. The U.S. dollar index is about half weighted in the Euro, and that unit broke down to multiyear lows. However, the Euro has been ...
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1answer
170 views

How to read options prices

I have been doing research on Options and thus far most of it has been relatively theoretical (mainly pricing models and put/call hedging strategies). Recently I have been looking into actually ...
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4answers
958 views

What happens to all of the options when they expire?

Most option traders don't want to actually buy or sell the underlying stock. They just use options as a trading vehicle perhaps making money on the time decay, on changes to volatility, etc. My ...
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2answers
493 views

How is options implied volatility for a stock determined?

For any given stock in Interactive Broker's TWS (and I bet with any other broker), there is an option's historical volatility and an option's implied volatility. I know the historical volatility is ...
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1answer
854 views

Implied or historical volatility to calculate theoretical options price with black scholes?

According to the black scholes model, volatility is one of the variables to calculate the fair price of an option. However, it doesn't specify which volatility should I use. Should I take the ...
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2answers
124 views

Where to find detailed information about stock?

The typical information about stock is historical prices, volatility and similar metrics that can be easily found. However, where can one found reliable information about the number of issued stock, ...
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1answer
651 views

Finding Uncorrelated Assets

I own a particular security. How can I find another security, which has uncorrelated or negatively correlated (anti correlated) returns with the one I already own? I would like both securities to ...
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3answers
227 views

Dealing with event driven market volatility

As a bit of background information, I'm a Canadian novice investor. I've dealt mostly in stocks and have done pretty well in the past year (+25%). I'm concerned about market volatility once the US ...
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1answer
367 views

VIX and XIV moved in same direction?

Both VIX (S&P 500 volatility index) and XIV (the inverse) decreased price today. Aren't they supposed to have the exact opposite percentage gain/loss intra-day?
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3answers
9k views

Why do volatility stocks/ETFs (TVIX, VXX, UVXY) trend down in the long-term?

I've noticed that stocks/ETFs that measure volatility (TVIX, VXX, UVXY, XVZ) are all trending down massively (eg VXX going from $7000/share on 3/09 and on 6/16 it is around $16/share) in the long-term ...
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4answers
3k views

How to explain quick price changes early in the morning

I don't have much experience trading and wonder why there was a large change just when the market opened. I daytraded my portfolio and started only recently. As expected, in the morning when the ...
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3answers
396 views

Accepting high volatility for high long-term returns

According to modern portfolio theory investors can pick a trade-off between expected returns and volatility along a certain curve. If someone is investing for the very long term (decades until ...
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0answers
215 views

Does the FFT of a price series hold any significance?

I'm just wondering whether spectral/frequency information (by means of a Fast Fourier Transform) about a stock's price series holds any significance in investment? My expectation is that it would ...
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1answer
446 views

Why are profit/loss constantly adjusted in futures contracts if the goal is to protect against volatility?

In this article: http://www.investopedia.com/university/futures/futures2.asp?header_alt=g In the chapter "Profit and Losses-Cash Settlement", the author describes that profit and loss are governed by ...
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145 views

why do energy stocks trade at lower prices compared to other sectors?

In researching some additional stocks I want to acquire, I've noticed many energy stocks trade at lower prices and exhibit a large amount of volatility. Why is that despite the fact energy is a basic ...