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Sears Holdings Corporation Historical Volatility

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Daily Volatility = Price Range as a percent of the daily average price. of Sears Holdings Corporation

This chart shows Volatility for Sears Holdings Corporation, defined to be the price range as a portion of the average price:

So, to derive the Daily Volatility on 12/15/2010 of 1.4%, the price range for the day (0.98) was divided by the average price (68.39). 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.

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 SHLD has been 4% in contrast to the Average Quarterly Volatility of 37%.



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SHLD:  Volatility Curve

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. As the timespan across which Volatility is measured increases, the Volatility is expected to increase. However, as seen in this plot of the SHLD Volatility Curve, the increase is not constant.



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SHLD:  Daily Volatility Histogram

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



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SHLD:  Quarterly Volatility Histogram

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 Sears Holdings Corporation Volatility and Risk Behavior

Refined Volatility Risk Analysis for SHLD :


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)

More SHLD Technical Analysis Topics

SHLD Price Predictions

Support and Resistance Levels

Politics and Prices of SHLD

Japanese Candlestick Analysis

SHLD Classical Analysis of Time Series

SHLD Historical Volume

SHLD Seasonal Trends

Back to SHLD Table of Contents


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