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This chart shows Volatility for Zapata Nevada, defined to be the price range as a portion of the average price: So, to derive the Daily Volatility on 12/23/2009 of 3.7%, the price range for the day (0.26) was divided by the average price (6.85). 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. 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. Average Daily Volatility over the history of ZAP has been 5% in contrast to the Average Quarterly Volatility of 41%. |
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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 ZAP Volatility Curve, the increase is not constant. |
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This histogram is a frequency distribution of Daily Volatility, corresponding to the green points on the first chart on this page. |
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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 ZAP : |
| Thursday, March 11, 2010: We have news on Southwestern Energy Company, ticker symbol SWN. A significant moving average event has happened. Also, there are breaking events concerning Philip Morris and LoJack Corp. From the News Archive: (3/10/2010 ) Bad news came from Omnicom Group Inc., Best Buy Co., Inc., Ameren Corporation, and Avon Products, Inc.. |