Volatility Analysis

KlickAnalytics calculates a lot of derived data from market data. We just updated our volatility app to include historical standard deviations with the following periods;

• 1 Week

• 20 Days

• 1 Month

• 3 Months

• 100 Days

• 6 Months

• 9 Months

• Year-to-date

• 1 Year

• 3 Years

• and 5 Years

Defining price movement in terms of standard deviations is preferable to using percentage change because using standard deviations puts all the stocks on a level playing field. There are categories of stocks that are typically more volatile and have larger percentage price changes than other stocks. For example, low-priced small-cap stocks or high-tech stocks are typically much more volatile than lower volatility stocks such as utility stocks. If we used percentage change to define price movement, then high-volatility stocks would always dominate the list and we would miss lower-volatility stocks that might have an unusually large movement on a particular day.

This will allow our users to view price movements of any global symbol in terms of historical standard deviations and much more.