Notices

Volatility

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Definition:
A measurement of the change of price, or potential change in price, over a given period.


Volatility is usually expressed as a percentage and computed as the annualised standard deviation of percentage change in daily price.

A market that moves a great deal is said to be of high volatility and one that is quiet is said to have low volatility.

The Volatility Index (VIX) measures the volatility of a a basket of securities. Option and warrant pricing is very sensitive to volatility.

See also Beta.

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