Questions tagged [volatility]
For questions related to measurements of the range of returns for a given equity, bond, or market index.
124
questions
7
votes
9
answers
34k
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 ...
- 15.9k
3
votes
2
answers
227
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 ...
- 15.9k
1
vote
1
answer
385
views
Reasons behind a large price movement of a penny stock without any recent news releases?
Sometimes I see penny stocks on the Yahoo! Finance page move by about 100% in a single day.
For example, this stock shows a 91% gain on 10-Jan-2014. By browsing the news reports, I cannot see ...
- 15.9k
6
votes
1
answer
161
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
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
0
votes
1
answer
1k
views
Why do more floating shares mean less volatility for the stock?
In the article Investopedia explains 'Floating Stock', it states:
The more shares of floating stock are available, the less volatile a
company's stock price is likely to be, and vice versa
I ...
- 15.9k
2
votes
1
answer
608
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 ...
- 193
-1
votes
1
answer
1k
views
What is the daily rebalanced leverage ratio that is ideal for the S&P 500 based on past performance?
This question assumes an investor with a very low risk-aversion coefficient. The risk-aversion coefficient is basically the 2nd-derivative of an investor's utility function as a function of money. An ...
- 1,793
8
votes
7
answers
35k
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
3
votes
1
answer
513
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
0
votes
1
answer
157
views
Metrics for screening stocks for pivot trading
I've been looking for tips on screening stocks that are a good fit for pivot trading. I've tried Ameritrade, ShareBuilder, NASDAQ and some other screeners but I don't see a metric for volatility which ...
- 467
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
1
vote
1
answer
1k
views
How to see an option chain's implied volatility skew
Are there any inexpensive tools, web-sites or services you know of where one can see:
a) current implied volatility skew for an option chain
b) historic implied volatility skew
Thanks
- 1,345
0
votes
2
answers
1k
views
What is volatility drag?
Given a leverage portfolio, what does the term volatility drag mean? And how does it affect the value of the portfolio?
- 153
2
votes
4
answers
562
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 $...
- 2,187
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
1
vote
1
answer
750
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 ...
- 2,187
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
5
votes
2
answers
223
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.
...
- 905
2
votes
2
answers
414
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 ...
- 1,345
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?
- 1,345
4
votes
1
answer
150
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 ...
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?
- 15.9k
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 ...
- 53k