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International Business Machines Historical Volatility

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IBM:  Daily Volatility = Price Range as a percent of the daily average price.

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

For instance, on 2/5/2010 the average price was 122.78 with a range of 1.89, indicating a Daily Volatility of 1.5%. The Daily Volatility is obtained by dividing the daily range by the daily average. A longer Volatility period such as Weekly Volatility is obtained by dividing the weekly price range by the weekly mean price. It is important to avoid confusing this with the weekly average of the daily volatility, which is a completely different concept.

For reference, the price is plotted in red. 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 IBM has been 2% in contrast to the Average Quarterly Volatility of 20%.



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Volatility Curve of International Business Machines

If you have ever seen a "yield curve" you should be able to understand the concept behind this "yield curve". Each Volatility Curve is a snapshot in time. From left to right, each position plots the Volatility associated with increasing intervals of time. However, as seen in this plot of the IBM Volatility Curve, the increase is not constant.



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IBM:  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 International Business Machines

In a similar vein, the Frequency Distribution of the Quarterly Volatility is plotted here. This is the distribution of the values plotted in purple on the top chart from this page.

For Subscribers: Refined Analysis of International Business Machines Volatility and Risk Behavior

Refined Volatility Risk Analysis for IBM :


Companies in the News:

In the news, Monday, February 08, 2010: A favorable condition has developed with Nicor Inc., ticker symbol GAS. Also, there are breaking events concerning American International Group, Inc. (AIG) and United Technologies (UTX)

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