Intel Historical Volatility
Chapter II: Understanding Price Volatility behaviour is essential to assessing the risk associated with positions across different time spans.
Volatility is defined as the price range for a period, divided by the average price for the period:|
So, to derive the Daily Volatility on 1/31/2011 of 2.8%, the price range for the day (0.61) was divided by the average price (21.34). 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. 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. During 25 years, the Average Quarterly Volatility of INTC stock price has been 31% while the Average Daily Volatility has been 3%.
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. The relationship between the length of time, and the expected change in price, is not linear, as is demonstrated by this chart. |
This histogram is a frequency distribution of Daily Volatility, corresponding to the green points on the first chart on this page. |
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 Intel Volatility and Risk Behavior
Companies in the News:
|In the news, Friday, February 18, 2011: An unfavorable condition has developed with Aetna Inc., ticker symbol AET. Also, there are breaking events concerning Dollar Tree, Inc. (DLTR) and First Niagara Financial Group Inc. (FNFG)|
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