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11 December 2012

Top Ten Most Volatile S&P500 & NASDAQ 100 Components

Current ten most volatile stocks in the S&P 500 and Nasdaq 100 indexes:

Top Ten S&P 500 Most Volatile Stocks:

Symbol YTD Volatility Last Year
SVU 1.0150.52
FSLR 0.7630.66
ANR 0.7150.721
NFLX 0.6910.701
SHLD 0.6150.567
PCS 0.5950.655
ANF 0.5540.512
GNW 0.5450.656
AMD 0.530.548
PHM 0.520.584

Top Ten NASDAQ 100 Most Volatile Stocks:

Symbol YTD Volatility Last Year
GMCR0.9680.867
FSLR0.7630.66
NIHD0.6980.419
NFLX0.6910.701
VRTX0.6210.5
SHLD0.6150.567
RIMM0.5740.618
ILMN0.4810.575
CTRP0.4740.465
APOL0.4640.368

YTD calculations are as of 12/10/2012, executed on daily data since 12/31/2011 (current) and 12/31/2010-12/31/2011 (last year). Volatility as calculated is the annualized standard deviation of lognormal daily returns.

The results above were calculated using The RiskAPI Add-In, our unique software client which allows fund managers to access a whole spectrum of on-demand portfolio risk analysis calculations.

21 August 2012

U.S. Summer Drought Takes its Toll on the Grain Complex

The intense summer drought has brought about a high volatility rally in nearly every US-based grain contract. Of greatest note is the price of corn, which leads the U.S. market in terms of planted acres, revenue, and therefore sensitivity to drought conditions. Second to the corn crop are soybeans, which have also experienced dramatic moves to the upside in the last several weeks.

Presented below is a rolling 90-day realized volatility chart for spot Corn, from May 1, 2012 to present day:

Here are the current 90-day realized volatility values for Corn, Wheat, and Soybeans:

Grain90-Day Volatility
Corn38.07%
Wheat36.92%
Soybeans31.36%

For comparison purposes, the current 90-day realized volatility of the S&P500 Index is a mere 15.28%.

All calculations are as of 8/20/2012, executed on daily data since 5/1/2012.

The results above were calculated using The RiskAPI Add-In, our unique software client which allows fund managers to access a whole spectrum of on-demand portfolio risk analysis calculations.

23 May 2012

S&P 500 Volatility, Euro Correlation Both Increase As Euro Crisis Worsens

As the European debt crisis once again makes headlines, with no indications of a quick solution on the horizon, the US equity market has reacted by suffering from a bout of increased volatility. Should there be any doubt as to why, correlation of the S&P 500 to the Euro has been increasing as well. Below, we present a chart showing rolling 90 day realized volatility of the S&500 index (red line) along with rolling 90-day S&P 500 correlation to the Euro currency (blue line).

All calculations are as of 5/22/2012, executed on daily data since 4/1/2012.

The results above were calculated using The RiskAPI Add-In, our unique software client which allows fund managers to access a whole spectrum of on-demand portfolio risk analysis calculations.

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