Sentences with phrase «volatility measures»

Or consider that every implied volatility measure under the sun is through the roof in ways that we haven't seen since 1987.

Our paper examines a comprehensive suite of volatility measures including actual volatility, volatility implied by option pricing, beta, credit default spreads, preferred stock yields and earnings price ratios.

Considering the drop in short - term volatility measures between the first and second round, this is a normal situation and nothing to be concerned about.

We believe that these factors are a key risk consideration when constructing a portfolio as opposed to only looking at returns based volatility measures (i.e. tracking error).

It's certainly helpful to try out different volatility measures, multiples, and price anchors.

However, in fixed income, volatility measures for bonds are not as straightforward as equities.

The WSJ reports Finra is examining trading activity in S&P 500 options, which are used to calculate a widely watched volatility measure.

Is it any surprise that volatility measures rose?

Most volatility measures are near all - time lows while Washington appears in complete disarray.

It's important to realize that volatility measures changes of the price over time, so the relationship between it and delta / gamma is not quite straightforward.

I like measured moves and volatility measures like a multiple of the average range.

In Chandelier Exits, ATR is a direction - neutral volatility measure.

Stock price volatility measures how «bouncy» a stock's price is.

Bond volatility measures gapped out, but not severely.

Volatility measured during the May - September period will yield a very different picture than volatility during the November - early December timeframe.

You can still see the systemic risk in the TED spread (over 160 bp), and other option implied volatility measures.

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.

Indeed, volatility measures have spiked to multi-month highs lately, with 2016 experiencing the worst start to a year in market history, according to Bloomberg data.

It also adjusts for risk (defined by modern portfolio theory metrics that look at volatility measures) and accounts for sales charges that can detract from performance figures.

Indeed, volatility measures have spiked to multi-month highs lately, with 2016 experiencing the worst start to a year in market history, according to Bloomberg data.

Simply put, in options trading, volatility measures the rate and magnitude of pricing changes in the underlying security, such as a stock or ETF.

The volatility measure used is based on historical volatility.

Remember that volatility measures both the downside and the upside.

Volatility measures the amount and frequency of option price changes — how likely it is that the option price will change dramatically in the near future.

The volatilities of the factor portfolios are a measure of the volatility of a long — short portfolio; in other words, these volatilities measure the volatility of the return difference between the long and the short portfolios.

Volatility measures the overall price fluctuations over a certain time and this information can be used to detect potential breakouts.

Both volatility measures are well below their November peaks from the fourth of the month as uncertainty of the election subsided and stocks pushed higher.

Each time, shares had risen by twice their volatility measure at the time of our last buy.

For example, given that the price return of a bond is determined by the bond's duration and yield change, a bond portfolio constructed using the volatility measure of standard deviation of price return could be biased toward bonds with short duration.

Both volatility measures ended the month at the highs of the month and are starting to show a little more fear going into the final week before the US election.

Both volatility measures finished June at their highs of the month.

This dynamic is reflected in the volatility measure, which has changed from six for both matter types, as reported in the 2015 Mid-Year Trends Report, to four for IP - Patent and five for IP - Trademark in the current report.

Implemented monthly metrics reporting for operations activities such as error ratios, unit cost, and volatility measures.