Sentences with phrase «volatility as a measure»

This wasn't unexpected, since the market was rising in just the right mix of conditions: Volatility as measured by the Cboe's index was at historic lows, the GOP was set to pass the most comprehensive corporate - tax reform in decades, and economies around the world were in growth mode.

Stocks are falling as traders worry about rising interest rates, and volatility as measured by the VIX has jumped to its highest since the market turmoil of August 2015.

Volatility as measured by the VIX, which had surged on the recent downwards moves, dropped by 4 points to roughly 18.5, eversing all of its jump over the past week.

The reality is that rising volatility as measured by the CBOE Volatility Index, or VIX, «is only a reflection of volatile movements in the market — it is not a predictor of future returns,» David Kotok, the head of Cumberland Advisors, sent in a Friday note written by Leo Chen Ph.D. to the wealth management firm's clients.

«I have never thought of volatility as a measure of risk.

It is an additional and complimentary lens to volatility as a measure of risk.

To investigate, we consider two measures of U.S. stock market volatility: (1) realized volatility, calculated as the standard deviation of daily S&P 500 Index return over the last 21 trading days (annualized); and, (2) implied volatility as measured by the Chicago Board Options Exchange Market Volatility Index (VIX).

The problem with volatility as a measure is that it doesn't properly measure the impact of «losing years», or «drawdowns», on the compounding of your wealth.

But the real impact is in the risk reduction we see in the form of much lower volatility as measured by standard deviation at 9.48 percent.

Charlie Munger points out: «Using [a stock's] volatility as a measure of risk is nuts.

Not exact matches

The four - week moving average of initial claims, considered a better measure of labor market trends as it irons out week - to - week volatility, fell 1,250, to 231,250 last week, the lowest level since March 31, 1973.

Traders are instead using the 44 % single - day spike in the CBOE Volatility Index — or VIX — as a reason to pile into wagers that the measure will come back down.

Volatility, as measured by the CBOE Crude Oil Volatility Index, has fallen in 2017.

The four - week moving average of claims, seen as a better measure of labor market trends as it irons out week - to - week volatility, fell 3,250 to 289,750 last week.

The four - week moving average of initial claims, viewed as a better measure of labor market trends as it irons out week - to - week volatility, fell 2,250 to 229,250 last week.

As for last week's market activity, Jones said that on Thursday we saw a five standard deviation (that's a volatility measure) kind of movement in one day.

In a guest post in The High Frequency Trading Review, Narang freely admits that «there has been an increasing incidence, in recent times, of days exhibiting unusually high volatility (measured as days when the close - to - close return, or alternatively, the high - low trading range are large in magnitude).»

The market volatility index, otherwise known as the VIX and even better known as the fear gauge — a measure of the expected volatility of U.S. stocks — has surged to the highest level in more than two years.

Beta is a measure of the volatility, or systematic risk, of a security or a portfolio, in comparison to the market as a whole.

If markets pick back up venture funding will return as it was before the 3 - day, 10 % correction but if the VIX goes up (a measure of expected volatility in the stock market) then expect rounds to take longer.

The chart below depicts realized stock market volatility and the VIX measure of expected volatility as implied by options.

Market volatility — as measured by the VIX (the so - called «fear index»)-- surged 80 % in the first quarter of the year.

A measure of 30 - day volatility known as the CBOE VIX reached a high of 16.92, which was still well below the historic average.

Currency volatility, as measured by the CVIX, remains about 20 % above the fall lows.

In their October 2009 paper entitled «Risk Sentiment Index (RSI) and Market Anomalies», Guy Kaplanski and Haim Levy introduce the Risk Sentiment Index (RSI) as a measure of the residual risk contained in VIX after accounting for the statistical and economic variables most predictive of future stock market volatility (such as previous month actual volatility and VIX).

Does the U.S. stock market volatility risk premium (VRP), measured as the difference between the volatility implied by stock index option prices recent actual index volatility, usefully predict stock market returns?

In conjunction with stock valuation ratios like the price - to - earnings ratio and the price - to - earnings - growth ratio, a stock's measure of volatility known as beta can help investors build a diversified...

Meanwhile, implied volatility is near its lowest level in 25 years, as measured by the MOVE index, which tracks volatility in one - month options on Treasury futures.

A measure of implied volatility known as the CBOE VIX fell back nearly 5 % on Wednesday.

Furthermore, there had been a significant rise in hedging activity leading into the event, with a spike in the cost of such hedges as measured by implied option volatility.

Volatility, as measured by the Chicago Board Options Exchange Volatility Index (VIX), jumped as high as 15.50 at midweek before slipping to 11.90 on Friday.

Volatility, as measured by the Chicago Board Options Exchange Volatility Index (VIX), rose to 11.75 from 10.9 last week.

The biggest challenge here is that exchange rate volatility currently makes bitcoin a poor store of value, at least if your time horizon is measured in months, weeks, or even days, as it is for people who get paid daily or (bi) weekly and pay their rent or mortgage monthly.

Volatility, as measured by the Chicago Board Options Exchange Volatility Index (VIX), declined to 9.50 from 10.8 last week.

The VIX, a measure of the expected equity - market volatility as determined by put and call prices on S&P 500 Index options, trailed lower in 2017 and remains well below its historical average.

Volatility, as measured by the Chicago Board Options Exchange Volatility Index (VIX), slipped to 10.30 from 10.80 last Friday.

1 Some people refer to duration as a measure of bond price volatility, but volatility is something different.

Volatility, as measured by the Chicago Board Options Exchange Volatility Index (VIX), slipped to 16.5 from 18 last week.

Volatility, as measured by the Chicago Board Options Exchange Volatility Index (VIX), rose to 11.00 from 9.9 a week ago.

This metric measures the implied or expected volatility in the stock market (as reflected in S&P 500 options) over the next 30 days, and is one of the main indicators used by traders today of market volatility.

Since the start of February equity volatility, as measured by the VIX Index, has averaged nearly 21.

A measure of the fund's volatility relative to the market, as represented by the Citigroup World Government Bond Index.

Volatility, as measured by the Chicago Board Options Exchange Volatility Index (VIX), was little changed at 11.7.

Beta measures a stock's price volatility relative to the market as a whole.

Volatility, as measured by the Chicago Board Options Exchange Volatility Index (VIX), slipped to 9.6 from 10 a week ago.

Volatility, as measured by the Chicago Board Options Exchange Volatility Index (VIX), edged up to 12 from 10.9.

«Identifying VXX / XIV Tendencies» finds that S&P 500 implied volatility index (VIX) futures roll return, as measured by the percentage difference in settlement price between the nearest and next nearest VIX futures, may be a useful predictor of iPath S&P 500 VIX Short - term Futures ETN (VXX) and VelocityShares Daily Inverse VIX Short - term ETN (XIV) returns.

«When people do try to measure investment risk, they typically assess the historic volatility of an investment compared to that of the overall market (known as beta), which derives from capital asset pricing theory.

A measure of implied volatility known as the CBOE VIX surged this week, reaching its highest level since Oct. 26.

A measure of 30 - day volatility known as the CBOE VIX fell back below its historic average, a sign that calm was slowly returning to Wall Street.