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Volatility Analysis for Cisco Systems

Chapter II: Risks associated with short and long period price changes can be understood through Volatility Analysis. Here the impact of the Volatility Curve on the potential profitability positions across different time spans is shown.

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Daily Volatility = Price Range as a percent of the daily average price. of Cisco Systems

Volatility is defined as the price range for a period, divided by the average price for the period:

For instance, on 3/12/2010 the average price was 25.91 with a range of 0.25, indicating a Daily Volatility of 0.9%. Daily Volatility (the daily range as a portion of the daily average price) is plotted in green. Blue is Weekly Volatility, which is the weekly range as a portion of the weekly average price. This is a different concept from the weekly average of daily volatility.

The red plot shows the actual price. Volatility, as measured through various intervals, ( Daily, Weekly, Monthly and Quarterly) is plotted according to color.

According to academic theory, Volatility is exactly equal to Risk. But investors often make a distinction between these two concepts. The different character of Volatility as seen in different time frames, lends some support to the investor's view. Average Daily Volatility over the history of CSCO has been 4% in contrast to the Average Quarterly Volatility of 33%.



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CSCO:  Volatility Curve

You may be familiar with the "yield curve" which shows how interest bearing yields vary according to term. Each Volatility Curve is a snapshot in time. As the timespan across which Volatility is measured increases, the Volatility is expected to increase. The relationship between the length of time, and the expected change in price, is not linear, as is demonstrated by this chart.



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CSCO:  Daily Volatility Histogram

A frequency distribution of the green points on the first chart (the daily volatility) yields this histogram.



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Quarterly Volatility Histogram of Cisco Systems

Similarly, the purple points on the top chart, the Quarterly Volatility Values, are subjected to frequency distribution here.

For Subscribers: Refined Analysis of Cisco Systems Volatility and Risk Behavior

Refined Volatility Risk Analysis for CSCO :


Companies in the News:

Friday, March 19, 2010: We have news on AT and T, ticker symbol T. A significant moving average event has happened. Also, there are breaking events concerning L-3 Communications Holdings, Inc. and Electronic Data Systems.

From the News Archive: (3/18/2010 ) Bad news came from Mylan Inc., TECO Energy, Inc., MicroSoft, and Goldman Sachs Group, Inc..


More CSCO Technical Analysis Topics

CSCO Price Predictions

Support and Resistance Levels

Volume Stratification Analysis

Politics and Prices of CSCO

Japanese Candlestick Analysis

CSCO Classical Analysis of Time Series

CSCO Historical Volume

CSCO Seasonal Trends

Market Sentiment

Back to CSCO Table of Contents


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