For questions related to measurements of the range of returns for a given equity, bond, or market index.
Questions tagged [volatility]
128 questions
74
votes
6 answers
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 funds are recommended over actively managed funds,…
henning no longer feeds AI
- 1,677
- 13
- 15
19
votes
3 answers
Why would long-term investor care about volatility?
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 risk, I gathered some data in Python and computed…
Mark
- 193
- 1
- 6
11
votes
2 answers
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 actually quite liquid? The market cap is $6b. Not…
curious
- 2,185
- 19
- 32
10
votes
3 answers
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 even after accounting for stock splits. Why is…
perseverance
- 103
- 1
- 1
- 7
9
votes
2 answers
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 the annualized standard deviation of the stock. But…
Luis Cruz
- 301
- 1
- 5
8
votes
9 answers
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 why this is so?
High volatility just means the…
Victor123
- 16,084
- 40
- 133
- 234
8
votes
7 answers
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 of only 10, that's a big spread. Options market…
AK.
- 364
- 1
- 3
- 7
7
votes
3 answers
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.
The Strong Programmer
- 543
- 1
- 3
- 11
7
votes
4 answers
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 question is, if most traders are motivated to sell or…
Jeremy Foster
- 255
- 1
- 6
7
votes
3 answers
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 where you buy both a call and put option on a stock…
JohnFx
- 53,876
- 13
- 137
- 250
7
votes
5 answers
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 by definition expected to always lose value over…
KDecker
- 1,128
- 1
- 9
- 13
6
votes
5 answers
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?
Victor123
- 16,084
- 40
- 133
- 234
6
votes
1 answer
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 fluctuations in the value brought about through…
mgjk
- 275
- 2
- 6
6
votes
2 answers
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 "Sum of weighted average returns". Let's now show an example on how…
Ventura
- 63
- 1
- 5
6
votes
1 answer
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 same for stocks trading at $3 as it does for…
ILovePaperTowels
- 467
- 3
- 11