ASML Stock Volatility

ASML Stock

USD 722.93 5.33 0.73%

ASML Holding appears to be very steady, given 3 months investment horizon. ASML Holding NV secures Sharpe Ratio (or Efficiency) of 0.13, which signifies that the company had 0.13% of return per unit of return volatility over the last 3 months. Our viewpoint regarding foreseeing the volatility of a stock is to use all available market data together with stock-specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for ASML Holding NV, which you can use to evaluate the future volatility of the firm. Please makes use of ASML Holding's Semi Deviation of 1.52, mean deviation of 1.58, and Risk Adjusted Performance of 0.1066 to double-check if our risk estimates are consistent with your expectations.

ASML Holding 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 ASML daily returns, and it is calculated using variance and standard deviation. We also use ASML's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of ASML Holding volatility.

30 Days Market Risk

Very steady

Focus

Chance of Distress

Very Small

Focus

30 Days Economic Sensitivity

Almost mirrors the market

Focus

Since volatility provides investors with entry points to take advantage of stock prices, companies, such as ASML Holding 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 ASML Holding at lower prices. For example, an investor can purchase ASML 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 ASML Holding'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 ASML Stock

+	0.84	MU	Micron Technology	Aggressive Push	Pair Corr
+	0.62	ON	ON Semiconductor	Fiscal Quarter End 30th of June 2023	Pair Corr
+	0.65	ENTG	Entegris	Fiscal Quarter End 30th of June 2023	Pair Corr
+	0.9	AMD	Advanced Micro Devices	Downward Rally	Pair Corr

Moving against ASML Stock

-	0.54	CVV	CVD Equipment	Fiscal Quarter End 30th of June 2023	Pair Corr
-	0.53	WISA	WiSA Technologies	Fiscal Quarter End 30th of June 2023	Pair Corr
-	0.44	WOLF	Wolfspeed	Fiscal Quarter End 30th of June 2023	Pair Corr

ASML Holding Market Sensitivity And Downside Risk

ASML Holding's beta coefficient measures the volatility of ASML stock compared to the systematic risk of the entire stock 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 ASML stock's returns against your selected market. In other words, ASML Holding's beta of 1.08 provides an investor with an approximation of how much risk ASML Holding stock can potentially add to one of your existing portfolios.

ASML Holding NV has relatively low volatility with skewness of 0.42 and kurtosis of 0.23. However, we advise all investors to independently investigate ASML Holding NV to ensure all accessible information is consistent with the expectations about its upside potential and future expected returns. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure ASML Holding'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 ASML Holding'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 stocks as prices fall.

3 Months Beta |Analyze ASML Holding NV Demand Trend

Check current 90 days ASML Holding correlation with market (NYSE Composite)

ASML Beta

1.08

ASML standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity 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

2.04

It is essential to understand the difference between upside risk (as represented by ASML Holding's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of ASML Holding's daily returns or price. Since the actual investment returns on holding a position in asml 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 ASML Holding.

Using ASML Put Option to Manage Risk

Put options written on ASML Holding grant holders of the option the right to sell a specified amount of ASML Holding 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 ASML Stock cannot fall below zero, the put buyer does gain as the price drops. So, one way investors can hedge ASML Holding'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 ASML Holding will be realized, the loss incurred will be offset by the profits made with the option trade.

ASML Holding's PUT expiring on 2023-06-02

Profit

ASML Holding Price At Expiration

Current ASML Holding Insurance Chain

		Delta	Gamma	Open Int	Expiration	Current Spread	Last Price
Put	2023-06-02 PUT at $760.0	-0.8842	0.0077	1	2023-06-02	30.9 - 35.2	0.0	View
Put	2023-06-02 PUT at $750.0	-0.7894	0.0112	5	2023-06-02	23.9 - 25.4	21.1	View
Put	2023-06-02 PUT at $740.0	-0.6713	0.0145	27	2023-06-02	16.5 - 17.3	16.43	View
Put	2023-06-02 PUT at $735.0	-0.5983	0.0157	48	2023-06-02	13.2 - 13.9	11.7	View
Put	2023-06-02 PUT at $730.0	-0.518	0.0156	29	2023-06-02	10.4 - 11.1	11.0	View
Put	2023-06-02 PUT at $725.0	-0.4385	0.0159	100	2023-06-02	7.9 - 8.6	7.3	View
Put	2023-06-02 PUT at $720.0	-0.3627	0.0149	53	2023-06-02	5.9 - 6.5	6.4	View
Put	2023-06-02 PUT at $715.0	-0.2935	0.0134	125	2023-06-02	4.2 - 5.3	4.85	View
Put	2023-06-02 PUT at $710.0	-0.2239	0.0119	182	2023-06-02	3.0 - 3.6	2.95	View
Put	2023-06-02 PUT at $705.0	-0.1683	0.01	38	2023-06-02	2.0 - 2.6	3.0	View
Put	2023-06-02 PUT at $700.0	-0.1308	0.0081	47	2023-06-02	1.35 - 1.85	1.75	View

View All ASML Holding Options

ASML Holding NV Stock Volatility Analysis

Volatility refers to the frequency at which ASML Holding stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with ASML Holding's price changes. Investors will then calculate the volatility of ASML Holding'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 ASML Holding's volatility:

Historical Volatility

This type of stock volatility measures ASML Holding's fluctuations based on previous trends. It's commonly used to predict ASML Holding'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 ASML Holding'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 ASML Holding'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. ASML Holding NV 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.

ASML Holding Projected Return Density Against Market

Given the investment horizon of 90 days the stock has the beta coefficient of 1.0761 . This suggests ASML Holding NV market returns are very sensitive to returns on the market. As the market goes up or down, ASML Holding is expected to follow.

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 ASML Holding or Semiconductors & Semiconductor Equipment 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 ASML Holding'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 ASML 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.

The company has an alpha of 0.2896, implying that it can generate a 0.29 percent excess return over NYSE Composite after adjusting for the inherited market risk (beta).

Predicted Return Density

Returns

ASML Holding's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how asml stock's price will differ from the mean after some time.To get its calculation, you should first determine the mean price during the specified period then subtract that from each price point.

What Drives an ASML Holding 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.

ASML Holding Stock Risk Measures

α	Alpha over NYSE Composite	0.29	Details
β	Beta against NYSE Composite	1.08	Details
σ	Overall volatility	2.04	Details
Ir	Information ratio	0.14	Details

ASML Holding Stock Return Volatility

ASML Holding historical daily return volatility represents how much of ASML Holding stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company inherits 2.0385% risk (volatility on return distribution) over the 90 days horizon. By contrast, NYSE Composite accepts 0.9132% volatility on return distribution over the 90 days horizon.

Performance (%)

Timeline

About ASML Holding Volatility

Volatility is a rate at which the price of ASML Holding 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 ASML Holding may increase or decrease. In other words, similar to ASML's beta indicator, it measures the risk of ASML Holding and helps estimate the fluctuations that may happen in a short period of time. So if prices of ASML Holding 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 2023
	Market Capitalization	216.5 B	177.6 B

ASML Holding'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 ASML Stock over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much ASML Holding's price varies over time.

3 ways to utilize ASML Holding's volatility to invest better

Higher ASML Holding's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of ASML Holding NV 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. ASML Holding NV 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 ASML Holding NV investment. A higher volatility means higher risk and potentially larger changes in value.
Identifying Opportunities: High volatility in ASML Holding'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 ASML Holding's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.

Remember it's essential to remember that stock volatility is just one of many factors to consider when making investment decisions, and it should be used in conjunction with other fundamental and technical analysis tools.

ASML Holding Investment Opportunity

ASML Holding NV has a volatility of 2.04 and is 2.24 times more volatile than NYSE Composite. 17 of all equities and portfolios are less risky than ASML Holding. Compared to the overall equity markets, volatility of historical daily returns of ASML Holding NV is lower than 17 () of all global equities and portfolios over the last 90 days. Use ASML Holding NV to protect your portfolios against small market fluctuations. Benchmarks are essential to demonstrate the utility of optimization algorithms. The stock experiences a moderate downward daily trend and can be a good diversifier. Check odds of ASML Holding to be traded at $708.47 in 90 days.

Very weak diversification

The correlation between ASML Holding NV and NYA is 0.48 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding ASML Holding NV and NYA in the same portfolio, assuming nothing else is changed.

View Details

ASML Holding Additional Risk Indicators

The analysis of ASML Holding'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 ASML Holding's investment and either accepting that risk or mitigating it. Along with some common measures of ASML Holding 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	0.1066
	Market Risk Adjusted Performance	0.2127
	Mean Deviation	1.58
	Semi Deviation	1.52
	Downside Deviation	1.74
	Coefficient Of Variation	887.03
	Standard Deviation	2.02

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.

ASML Holding 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 ASML Holding 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. ASML Holding'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, ASML Holding'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 ASML Holding NV.

Check out Trending Equities to better understand how to build diversified portfolios. You can also try CEO Directory module to screen CEOs from public companies around the world.

Complementary Tools for ASML Stock analysis

When running ASML Holding's price analysis, check to measure ASML Holding'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 ASML Holding is operating at the current time. Most of ASML Holding's value examination focuses on studying past and present price action to predict the probability of ASML Holding's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move ASML Holding's price. Additionally, you may evaluate how the addition of ASML Holding to your portfolios can decrease your overall portfolio volatility.

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Is ASML Holding'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 ASML Holding. If investors know ASML 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 ASML Holding 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

1.861

Dividend Share

4.43

Earnings Share

18.69

Revenue Per Share

1.1083

Quarterly Revenue Growth

0.909

The market value of ASML Holding NV is measured differently than its book value, which is the value of ASML that is recorded on the company's balance sheet. Investors also form their own opinion of ASML Holding's value that differs from its market value or its book value, called intrinsic value, which is ASML Holding'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 ASML Holding's market value can be influenced by many factors that don't directly affect ASML Holding'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 ASML Holding's value and its price as these two are different measures arrived at by different means. Investors typically determine if ASML Holding is a good investment by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, ASML Holding'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. Check out Trending Equities to better understand how to build diversified portfolios.

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ASML Stock Volatility

30 Days Market Risk

Chance of Distress

30 Days Economic Sensitivity

Moving together with ASML Stock

Moving against ASML Stock

ASML Holding Market Sensitivity And Downside Risk

ASML Beta

Standard Deviation

Using ASML Put Option to Manage Risk

ASML Holding's PUT expiring on 2023-06-02

Current ASML Holding Insurance Chain

ASML Holding NV Stock Volatility Analysis

Historical Volatility

Implied Volatility

ASML Holding Projected Return Density Against Market

What Drives an ASML Holding Price Volatility?

Industry

Political and Economic environment

The Company's Performance

ASML Holding Stock Risk Measures

ASML Holding Stock Return Volatility

About ASML Holding Volatility

3 ways to utilize ASML Holding's volatility to invest better

ASML Holding Investment Opportunity

Very weak diversification

ASML Holding Additional Risk Indicators

ASML Holding Suggested Diversification Pairs

Complementary Tools for ASML Stock analysis

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