Chapter II: This survey looks at historical volatility of Fedex prices. The risks associated with long and short term positions can be evaluated according to projected shapes of the Volatility Curve. |
| Prev. Co. | Next Co. | |
|
| ||
|
This chart shows Volatility for Fedex, defined to be the price range as a portion of the average price: So, to derive the Daily Volatility on 2/5/2010 of 5.2%, the price range for the day (4.08) was divided by the average price (77.21). 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. The remaining marks on the plot correspond to the Volatility measured across several time intervals. Investors often make a distinction between the concept of Volatility, and the concept of Risk. Academics define them to be exactly equivalent, but as can be seen here, there is good reason to distinguish between the levels of volatility or risk experienced across different time frames. Average Daily Volatility over the history of FDX has been 3% in contrast to the Average Quarterly Volatility of 35%. |
| Prev. Co. | Next Co. | |
| ||
|
If you have ever seen a "yield curve" you should be able to understand the concept behind this "yield curve". These Volatility Curves each apply to a discrete time interval. As the timespan across which Volatility is measured increases, the Volatility is expected to increase. However, as seen in this plot of the FDX Volatility Curve, the increase is not constant. |
| Prev. Co. | Next Co. | |
| ||
|
This histogram is a frequency distribution of Daily Volatility, corresponding to the green points on the first chart on this page. |
| Prev. Co. | Next Co. | |
| ||
|
Similarly, the purple points on the top chart, the Quarterly Volatility Values, are subjected to frequency distribution here. |
Refined Volatility Risk Analysis for FDX : |
| Monday, February 08, 2010: We have news on American International Group, Inc., ticker symbol AIG. Some signs of an over-sold condition have become evident. Also, there are breaking events concerning Marathon Oil Corporation and Pactiv Corporation. From the News Archive: (2/5/2010 ) Favorable events happened at Regions Financial Corporation and Wells Fargo & Company. Meanwhile, bad news came from Genzyme Corporation and Archer-Daniels-Midland. |