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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64
votes
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 ...
11
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2answers
2k views

How can this stock have an intra-day range of more than 90% on 24Aug2015?

I am looking at this stock BKCC and was shocked at one point at its price of only $0.97. Just within 1 hour of opening, BKCC traded between $0.97 and $9.5. How can this be so, particularly when it is ...
8
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3answers
8k 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 ...
7
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4answers
871 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 ...
7
votes
3answers
777 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.
7
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2answers
347 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 ...
6
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7answers
1k views

How to make money from a downward European market?

The trader Alessio Rastani speaks in a BBC interview about the development of the Euro zone and his predictions are quite severe. He predicts a crash within the next 12 months but is also telling ...
6
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5answers
2k views

Why are the prices of some commodities (e.g. oil) more volatile than others?

Why are the prices of some commodities (e.g. oil) more volatile than others?
6
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4answers
19k views

What does it mean to long convexity of options?

In this Bloomberg video, Curnett talks about volatility and the convexity of options. Specifically, he says; "The spread between the VIX sitting there at 20 for a period of time and this realized ...
6
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3answers
824 views

Fund or ETF that simulates the investment goals of an options “straddle” strategy?

With all the market volatility of late, I was thinking that it might be a good short term strategy to employ a straddle approach. For those not familiar with Options trading: This is a strategy ...
6
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1answer
135 views

Collecting Dividends while insulating volatility through options?

Is it possible to use options to collect dividends on stocks while insulating yourself from the volatility? If so, how? e.g., If I bought 100 shares of a REIT but didn't want to expose myself to ...
5
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2answers
176 views

How should I use the Volatility Index?

I do have a basic understanding of the Volatility Index (Chicago Board Options Exchange Market Volatility Index), but I wasn't sure how this index is best used by an individual, average investor. ...
5
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1answer
756 views

Does technical analysis work on penny stocks?

Does technical analysis work on penny stocks? If yes, and we're talking about stocks that trade under $3, is there a point at which it stops being effective? If yes, does technical analysis work the ...
4
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8answers
22k views

Why does a call option's price increase with higher volatility?

As per the Black-Scholes model, the value of a call option is directly proportional to the volatility. Without getting into the derivation of the BS equation, is it possible to intuitively understand ...
4
votes
2answers
409 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 ...
4
votes
3answers
214 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 ...
4
votes
1answer
130 views

How do I research, analyze, and choose the right mutual fund for a roth ira?

I recently opened a Roth IRA in the USA and I'm new to investing. How do I research a mutual fund and what aspects should I analyze to figure out if it fits my investment strategy (I might not even ...
3
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3answers
379 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 ...
3
votes
2answers
1k views

how does one see the CBOE VIX index on Google Finance?

How does one see the CBOE VIX index on Google Finance? What is a symbol I can use?
3
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1answer
447 views

Why did Apple instantly become the most volatile stock in the US?

I fully understand that it went up quickly by a lot, and have no problem with the recent drop. But why did it seem to instantly become so volatile? It seems like every day it's up or down 2% or more....
3
votes
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 $...
3
votes
1answer
796 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 ...
3
votes
1answer
112 views

What indicators should I look for when investing in various stocks or funds?

Say I want to manage my own portfolio of stocks or funds, which key indicators should I primarily look for? To me there are few, although I'm not sure they are the most relevant: Sharpe ratio ...
3
votes
2answers
245 views

Getting correlation from regression slope (Completely stumped)

This question is from a book (Active Portfolio Management), but unfortunately there are no provided solutions. "Assume that residual returns are uncorrelated across stocks. Stock A has a beta of 1.15,...
3
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1answer
125 views

Are there option strategies that exploit mergers and acquisitions events?

Are there any option strategies that can profit from mergers, acquisitions and buyouts? I don't mean insider trading. I mean after the news is out but the deal has not taken place yet, are there any ...
3
votes
3answers
1k views

Rate of change of beta

While viewing data for an individual stock, I always want to see how much the beta has changed. I see this useful for three reasons: Trends (up, down, or stable) in the beta The 60-month beta hides ...
3
votes
3answers
320 views

What exactly am I buying when I buy volatility

When I buy a share in a company, I buy a piece of the company, however small. In recent times, there is a lot of interest in trading volatility. Now my first question is: when i buy volatility (by ...
2
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4answers
396 views

Is it possible to quantify the probability of sudden big movements for a high-volume stock?

As an example: Over this past weekend, from Friday close to Monday open, Netflix (NFLX) dropped about 36% in stock price. Going back to July, Netflix was trading near $300, and now it is at about $...
2
votes
4answers
2k 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 ...
2
votes
2answers
302 views

Why is silver so volatile compared to the S&P 500?

As an example, silver took a 9.4% hit on 9/22/2011, which was a bad market day -- the Dow dropped over 3.5%. The conventional wisdom is that precious metals like silver are a hedge against a falling ...
2
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3answers
7k 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 ...
2
votes
2answers
1k views

Why VIX shares an inverse relationship with SPX

Why is it that when the s&p 500 index as tracked by the SPX goes up, the corresponding volatility index as tracked by VIX goes down. I understand that volatility is directly affecting the price ...
2
votes
1answer
160 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 ...
2
votes
1answer
85 views

Why is volatility in a positive direction clubbed in the same risk category as volatility in a negative direction?

Let's say a stock's price has been steadily rising for the last 6 months. It's going to have (a relatively) high volatility. Let's say another stock's price has been falling steadily for the last ...
2
votes
2answers
72 views

Online service that computes implied volatility [closed]

Is there a free online service that will give me the Implied Volatility of a stock or ETF based on the current option price? Or do I need to calculate myself in excel? I found this resource on IV but ...
2
votes
1answer
170 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 ...
2
votes
1answer
3k 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 ...
2
votes
1answer
91 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 ...
2
votes
1answer
3k views

What is the UK equivalent of the VIX volatility index?

The VIX is a measurement of volatility in US markets. What about UK markets?
2
votes
1answer
395 views

Inverse Relationship between Volatility and Beta

From P78 in ETF for Dummies, 2nd Ed, by Russell Wild : Beta’s usefulness is greater for individual stocks than it is for ETFs, but nonetheless it can be helpful, especially when gauging the ...
2
votes
2answers
144 views

Options price vs implied volatility - who drives who?

In this article we have: In contrast, IV is derived from an option’s price and shows what the market “implies” about the stock’s volatility in the future. Implied volatility is one of six inputs ...
2
votes
1answer
471 views

How is the price of VXX determined?

I'm trying to understand how VXX works (the prospectus on Barclay's Ipath). It says that it has a rolling position in futures (1 month and 2 month). Does that mean that it buys and sells contracts ...
1
vote
1answer
432 views

What to make of historical stock market volatility?

I looked on Google Finance today at the DJIA, and kept backing up the time window until I saw the whole display they had, from 1971 until today (Oct 2011). It seemed to me that the volatility--the ...
1
vote
2answers
1k views

How to understand a volatility based ETF like VXX

The ETF VXX is based on the volatility index VIX. If volatility goes up, VIX goes up and VXX goes up. Similar thing for the downside. Now when I buy an ETF like SPY, I can conceptually understand that ...
1
vote
2answers
154 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, ...
1
vote
2answers
105 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 ...
1
vote
1answer
123 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 ...
1
vote
1answer
357 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?
1
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2answers
123 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, ...
1
vote
2answers
343 views

Why can I see/trade VIX but not S&P/TSX 60 VIX?

I am using Questrade and if I do a look up for VIX.IN, I find it: However, I can't find S&P/TSX 60 VIX: Why is this? I can see that it is being traded...