Questions tagged [volatility]
For questions related to measurements of the range of returns for a given equity, bond, or market index.
127
questions
73
votes
6
answers
9k
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 ...
19
votes
3
answers
4k
views
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 ...
- 193
11
votes
2
answers
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 ...
- 2,175
9
votes
3
answers
12k
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 ...
- 93
9
votes
2
answers
1k
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 ...
- 301
8
votes
9
answers
35k
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 ...
- 16k
8
votes
7
answers
37k
views
What does it mean to long the convexity of options?
In this Bloomberg video, Curnutt 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 vol ...
- 364
7
votes
5
answers
4k
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 ...
- 1,118
7
votes
4
answers
2k
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 ...
- 255
7
votes
3
answers
968
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
votes
3
answers
2k
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 ...
- 53.2k
6
votes
7
answers
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 ...
- 595
6
votes
2
answers
3k
views
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 "...
- 63
6
votes
5
answers
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?
- 16k
6
votes
1
answer
1k
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 ...
- 467
6
votes
1
answer
163
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 ...
- 275
5
votes
2
answers
235
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.
...
- 915
5
votes
2
answers
1k
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 ...
- 301
4
votes
2
answers
449
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 ...
- 6,849
4
votes
3
answers
476
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 ...
- 161
4
votes
3
answers
265
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 ...
- 874
4
votes
1
answer
153
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
votes
2
answers
2k
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?
- 1,355
3
votes
1
answer
6k
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
...
- 147
3
votes
1
answer
134
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
...
- 171
3
votes
1
answer
522
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....
- 2,974
3
votes
1
answer
90
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 $...
- 713
3
votes
2
answers
234
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 ...
- 275
3
votes
2
answers
302
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,...
- 41
3
votes
2
answers
230
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 ...
- 16k
3
votes
1
answer
332
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 ...
- 265
3
votes
1
answer
149
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 ...
- 16k
3
votes
3
answers
2k
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 ...
- 133
3
votes
3
answers
391
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 ...
- 16k
2
votes
4
answers
577
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 $...
- 2,197
2
votes
4
answers
8k
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
3
answers
17k
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 ...
- 21
2
votes
3
answers
563
views
why volatility increases price for ITM call options?
Similar questions have been asked here, but I'm not able to find this exact question. For a European call option, if it's very in-the-money, wouldn't a higher volatility decrease the probability it ...
- 89
2
votes
2
answers
416
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 ...
- 1,355
2
votes
1
answer
396
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?
- 131
2
votes
2
answers
2k
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 ...
- 16k
2
votes
2
answers
240
views
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 ...
user112742
2
votes
1
answer
234
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 ...
- 275
2
votes
4
answers
978
views
Is it possible to improve stock purchase with limit orders accounting for volatility?
As a retail investor that puts a certain monthly amount into equity, I was wondering which is the best way to proceed when purchasing stocks. By best I mean the one that would allow me to purchase the ...
- 421
2
votes
1
answer
115
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
1
answer
2k
views
Is the average true range a better measure of volatility than historical volatility
The calculation of historical volatility only takes into account the closing stock prices. Is it a better measure of really how volatile the stock is as compared to a measure like average true range? ...
- 16k
2
votes
2
answers
92
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 ...
- 16k
2
votes
1
answer
907
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 ...
- 55
2
votes
2
answers
7k
views
Why Gamma shares an inverse relationship with volatility
At this TOS tutorial
On page 3:
Tom Preston: Gamma increases when the option is at the money, the
option is close to expiration or volatility is low
I am confused about 'volatility is low' part....
- 16k
2
votes
1
answer
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?
user2654