Chapter II: This survey looks at historical volatility of Walmart prices. The risks associated with long and short term positions can be evaluated according to projected shapes of the Volatility Curve. |
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This chart shows Volatility for Walmart, defined to be the price range as a portion of the average price: For instance, on 6/30/2009 the average price was 48.69 with a range of 0.78, indicating a Daily Volatility of 1.6%. 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. 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 29 years, the Average Quarterly Volatility of WMT stock price has been 22% while the Average Daily Volatility has been 2%. |
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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. From left to right, each position plots the Volatility associated with increasing intervals of time. However, as seen in this plot of the WMT Volatility Curve, the increase is not constant. |
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A frequency distribution of the green points on the first chart (the daily volatility) yields this histogram. |
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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. |
Refined Volatility Risk Analysis for WMT : |
| In the news, Wednesday, July 01, 2009: An unfavorable condition has developed with Lexmark International, Inc., ticker symbol LXK. Also, there are breaking events concerning Lennar Corporation (LEN) and The Travelers Companies, Inc. (TRV) |