Elanco Animal Health Stock Volatility
| ELAN Stock | USD 13.46 0.53 4.10% |
Elanco Animal Health secures Sharpe Ratio (or Efficiency) of -0.0691, which denotes the company had a -0.0691% return per unit of standard deviation over the last 3 months. Elanco Animal Health exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Elanco Animal's Standard Deviation of 1.89, coefficient of variation of (1,013), and Mean Deviation of 1.37 to check the risk estimate we provide. Key indicators related to Elanco Animal's volatility include:
30 Days Market Risk | Chance Of Distress | 30 Days Economic Sensitivity |
Elanco Animal Stock volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Elanco daily returns, and it is calculated using variance and standard deviation. We also use Elanco's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Elanco Animal volatility.
Elanco |
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Elanco Animal can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Elanco Animal at lower prices. For example, an investor can purchase Elanco stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of Elanco Animal's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.
Moving together with Elanco Stock
| 0.64 | EGRX | Eagle Pharmaceuticals | PairCorr |
| 0.62 | DNA | Ginkgo Bioworks Holdings Financial Report 8th of May 2024 | PairCorr |
Moving against Elanco Stock
| 0.74 | ELYM | Eliem Therapeutics | PairCorr |
| 0.48 | VALN | Valneva SE ADR Financial Report 2nd of May 2024 | PairCorr |
Elanco Animal Market Sensitivity And Downside Risk
Elanco Animal's beta coefficient measures the volatility of Elanco stock compared to the systematic risk of the entire market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Elanco stock's returns against your selected market. In other words, Elanco Animal's beta of 1.36 provides an investor with an approximation of how much risk Elanco Animal stock can potentially add to one of your existing portfolios. Elanco Animal Health exhibits very low volatility with skewness of 0.87 and kurtosis of 4.23. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Elanco Animal's stock risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Elanco Animal's stock price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different financial instruments as prices fall.
3 Months Beta |Analyze Elanco Animal Health Demand TrendCheck current 90 days Elanco Animal correlation with market (NYSE Composite)Elanco Beta |
Elanco standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.
Standard Deviation | 1.99 |
It is essential to understand the difference between upside risk (as represented by Elanco Animal's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Elanco Animal's daily returns or price. Since the actual investment returns on holding a position in elanco stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Elanco Animal.
Using Elanco Put Option to Manage Risk
Put options written on Elanco Animal grant holders of the option the right to sell a specified amount of Elanco Animal at a specified price within a specified time frame. The put buyer has a limited loss and, while not fully unlimited gains, as the price of Elanco Stock cannot fall below zero, the put buyer does gain as the price drops. So, one way investors can hedge Elanco Animal's position is by buying a put option against it. The put option used this way is usually referred to as insurance. If an undesired outcome occurs and loss on holding Elanco Animal will be realized, the loss incurred will be offset by the profits made with the option trade.
Elanco Animal's PUT expiring on 2024-05-17
Profit |
| Elanco Animal Price At Expiration |
Current Elanco Animal Insurance Chain
| Delta | Gamma | Open Int | Expiration | Current Spread | Last Price | |||
Put | 2024-05-17 PUT at $17.0 | -0.7674 | 0.0772 | 4 | 2024-05-17 | 2.4 - 4.5 | 1.85 | View |
Put | 2024-05-17 PUT at $16.0 | -0.7741 | 0.0967 | 11 | 2024-05-17 | 2.0 - 3.4 | 2.7 | View |
Put | 2024-05-17 PUT at $15.0 | -0.8466 | 0.1367 | 1149 | 2024-05-17 | 2.1 - 2.25 | 2.0 | View |
Put | 2024-05-17 PUT at $14.0 | -0.6962 | 0.2038 | 33 | 2024-05-17 | 1.3 - 1.4 | 1.38 | View |
Put | 2024-05-17 PUT at $13.0 | -0.4836 | 0.2446 | 37 | 2024-05-17 | 0.65 - 0.75 | 0.67 | View |
Put | 2024-05-17 PUT at $12.0 | -0.2619 | 0.185 | 2021 | 2024-05-17 | 0.25 - 0.35 | 0.4 | View |
Put | 2024-05-17 PUT at $11.0 | -0.1075 | 0.1016 | 4 | 2024-05-17 | 0.05 - 0.15 | 0.13 | View |
Elanco Animal Health Stock Volatility Analysis
Volatility refers to the frequency at which Elanco Animal stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Elanco Animal's price changes. Investors will then calculate the volatility of Elanco Animal's stock to predict their future moves. A stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A stock with relatively stable price changes has low volatility. A highly volatile stock is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Elanco Animal's volatility:
Historical Volatility
This type of stock volatility measures Elanco Animal's fluctuations based on previous trends. It's commonly used to predict Elanco Animal's future behavior based on its past. However, it cannot conclusively determine the future direction of the stock.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Elanco Animal's current market price. This means that the stock will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Elanco Animal's to be redeemed at a future date.Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. Elanco Animal Health Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
Elanco Animal Projected Return Density Against Market
Given the investment horizon of 90 days the stock has the beta coefficient of 1.3619 suggesting as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are projected to be negative, Elanco Animal will likely underperform.Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Elanco Animal or Pharmaceuticals sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Elanco Animal's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Elanco stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Elanco Animal Health has a negative alpha, implying that the risk taken by holding this instrument is not justified. The company is significantly underperforming the NYSE Composite. Predicted Return Density |
| Returns |
What Drives an Elanco Animal Price Volatility?
Several factors can influence a stock's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.The Company's Performance
Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.Elanco Animal Stock Risk Measures
Given the investment horizon of 90 days the coefficient of variation of Elanco Animal is -1446.41. The daily returns are distributed with a variance of 3.98 and standard deviation of 1.99. The mean deviation of Elanco Animal Health is currently at 1.43. For similar time horizon, the selected benchmark (NYSE Composite) has volatility of 0.62
α | Alpha over NYSE Composite | -0.3 | |
β | Beta against NYSE Composite | 1.36 | |
σ | Overall volatility | 1.99 | |
Ir | Information ratio | -0.15 |
Elanco Animal Stock Return Volatility
Elanco Animal historical daily return volatility represents how much of Elanco Animal stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm inherits 1.9946% risk (volatility on return distribution) over the 90 days horizon. By contrast, NYSE Composite accepts 0.6371% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Elanco Animal Volatility
Volatility is a rate at which the price of Elanco Animal or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Elanco Animal may increase or decrease. In other words, similar to Elanco's beta indicator, it measures the risk of Elanco Animal and helps estimate the fluctuations that may happen in a short period of time. So if prices of Elanco Animal fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.| Last Reported | Projected for Next Year | ||
| Selling And Marketing Expenses | 207 M | 330.4 M | |
| Market Cap | 0.00 | 0.00 |
Elanco Animal's stock volatility refers to the amount of uncertainty or risk involved with the size of changes in its stock's price. It is a statistical measure of the dispersion of returns on Elanco Stock over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Elanco Animal's price varies over time.
3 ways to utilize Elanco Animal's volatility to invest better
Higher Elanco Animal's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Elanco Animal Health stock is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. Elanco Animal Health stock volatility can provide helpful information for making investment decisions in the following ways:- Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of Elanco Animal Health investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Elanco Animal's stock can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
- Diversification: Understanding how the volatility of Elanco Animal's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Elanco Animal Investment Opportunity
Elanco Animal Health has a volatility of 1.99 and is 3.11 times more volatile than NYSE Composite. 17 percent of all equities and portfolios are less risky than Elanco Animal. You can use Elanco Animal Health to enhance the returns of your portfolios. The stock experiences a very speculative upward sentiment. Check odds of Elanco Animal to be traded at $16.83 in 90 days.Very weak diversification
The correlation between Elanco Animal Health and NYA is 0.44 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Elanco Animal Health and NYA in the same portfolio, assuming nothing else is changed.
Elanco Animal Additional Risk Indicators
The analysis of Elanco Animal's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Elanco Animal's investment and either accepting that risk or mitigating it. Along with some common measures of Elanco Animal stock's risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
| Risk Adjusted Performance | (0.05) | |||
| Market Risk Adjusted Performance | (0.13) | |||
| Mean Deviation | 1.37 | |||
| Coefficient Of Variation | (1,013) | |||
| Standard Deviation | 1.89 | |||
| Variance | 3.59 | |||
| Information Ratio | (0.15) |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stocks, we recommend comparing similar stocks with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Elanco Animal Suggested Diversification Pairs
Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Elanco Animal as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Elanco Animal's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Elanco Animal's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Elanco Animal Health.
When determining whether Elanco Animal Health offers a strong return on investment in its stock, a comprehensive analysis is essential. The process typically begins with a thorough review of Elanco Animal's financial statements, including income statements, balance sheets, and cash flow statements, to assess its financial health. Key financial ratios are used to gauge profitability, efficiency, and growth potential of Elanco Animal Health Stock. Outlined below are crucial reports that will aid in making a well-informed decision on Elanco Animal Health Stock: Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Elanco Animal Health. Also, note that the market value of any company could be tightly coupled with the direction of predictive economic indicators such as signals in nation. Note that the Elanco Animal Health information on this page should be used as a complementary analysis to other Elanco Animal's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Stocks Directory module to find actively traded stocks across global markets.
Complementary Tools for Elanco Stock analysis
When running Elanco Animal's price analysis, check to measure Elanco Animal's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Elanco Animal is operating at the current time. Most of Elanco Animal's value examination focuses on studying past and present price action to predict the probability of Elanco Animal's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Elanco Animal's price. Additionally, you may evaluate how the addition of Elanco Animal to your portfolios can decrease your overall portfolio volatility.
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Is Elanco Animal's industry expected to grow? Or is there an opportunity to expand the business' product line in the future? Factors like these will boost the valuation of Elanco Animal. If investors know Elanco will grow in the future, the company's valuation will be higher. The financial industry is built on trying to define current growth potential and future valuation accurately. All the valuation information about Elanco Animal listed above have to be considered, but the key to understanding future value is determining which factors weigh more heavily than others.
Quarterly Earnings Growth 1.097 | Earnings Share (2.50) | Revenue Per Share 8.972 | Quarterly Revenue Growth 0.051 | Return On Assets 0.0139 |
The market value of Elanco Animal Health is measured differently than its book value, which is the value of Elanco that is recorded on the company's balance sheet. Investors also form their own opinion of Elanco Animal's value that differs from its market value or its book value, called intrinsic value, which is Elanco Animal's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because Elanco Animal's market value can be influenced by many factors that don't directly affect Elanco Animal's underlying business (such as a pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between Elanco Animal's value and its price as these two are different measures arrived at by different means. Investors typically determine if Elanco Animal is a good investment by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Elanco Animal's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.