Asml Hld Stock Volatility

ASML -  USA Stock  

USD 864.74  10.01  1.17%

Asml Hld appears to be very steady, given 3 months investment horizon. Asml Hld NY secures Sharpe Ratio (or Efficiency) of 0.24, which signifies that the company had 0.24% of return per unit of risk over the last 3 months. Our standpoint towards 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-eight technical indicators for Asml Hld NY, which you can use to evaluate the future volatility of the firm. Please makes use of Asml Hld's risk adjusted performance of (0.05), and Mean Deviation of 3.04 to double-check if our risk estimates are consistent with your expectations.

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

210 Days Market Risk

Very steady

Chance of Distress

Very Small

210 Days Economic Sensitivity

Follows the market closely

Asml Hld Market Sensitivity And Downside Risk

Asml Hld's beta coefficient measures the volatility of Asml Hld 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 Hld stock's returns against your selected market. In other words, Asml Hld's beta of 0.73 provides an investor with an approximation of how much risk Asml Hld stock can potentially add to one of your existing portfolios.
Let's try to break down what Asml Hld's beta means in this case. As returns on the market increase, Asml Hld returns are expected to increase less than the market. However, during the bear market, the loss on holding Asml Hld will be expected to be smaller as well.
3 Months Beta |Analyze Asml Hld NY Demand Trend
Check current 90 days Asml Hld correlation with market (DOW)

Asml Hld Beta

    
  0.73  
Asml Hld 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

    
  1.52  
It is essential to understand the difference between upside risk (as represented by Asml Hld's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Asml Hld stock's daily returns or price. Since the actual investment returns on holding a position in Asml Hld 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 Hld.

Asml Hld Implied Volatility

    
  33.47  
Asml Hld's implied volatility exposes the market's sentiment of Asml Hld NY stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if Asml Hld's implied volatility is high, the market thinks the stock has potential for high price swings in either direction. On the other hand, the low implied volatility suggests that Asml Hld stock will not fluctuate a lot when Asml Hld's options near their expiration.

Asml Hld NY Stock Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Asml Hld NY 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. View also all equity analysis or get more info about average price price transform indicator.

Asml Hld Projected Return Density Against Market

Given the investment horizon of 90 days Asml Hld has a beta of 0.7262 . This suggests as returns on the market go up, Asml Hld average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Asml Hld NY will be expected to be much smaller as well.
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 Hld or Technology 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 Hld stock'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 Hld 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 a negative alpha, implying that the risk taken by holding this instrument is not justified. Asml Hld NY is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

Asml Hld Stock Risk Measures

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 Hld or Technology 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 Hld stock'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 Hld 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.
Given the investment horizon of 90 days the coefficient of variation of Asml Hld is 423.16. The daily returns are distributed with a variance of 2.3 and standard deviation of 1.52. The mean deviation of Asml Hld NY is currently at 1.17. For similar time horizon, the selected benchmark (DOW) has volatility of 0.69
α
Alpha over DOW
-1.07
β
Beta against DOW0.73
σ
Overall volatility
1.52
Ir
Information ratio -0.09

Asml Hld Stock Return Volatility

Asml Hld historical daily return volatility represents how much Asml Hld stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The company inherits 1.518% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 0.6752% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Asml Hld Volatility

Volatility is a rate at which the price of Asml Hld 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 Hld may increase or decrease. In other words, similar to Asml Hld's beta indicator, it measures the risk of Asml Hld and helps estimate the fluctuations that may happen in a short period of time. So if prices of Asml Hld 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 ReportedProjected for 2021
Market Capitalization204.1 B220.2 B
ASML Holding N.V. develops, produces, markets, sells, and services advanced semiconductor equipment systems consisting of lithography, metrology, and inspection related systems for memory and logic chipmakers. ASML Holding N.V. was founded in 1984 and is headquartered in Veldhoven, the Netherlands. Asml Hld operates under Semiconductor Equipment Materials classification in the United States and is traded on NASDAQ Exchange. It employs 27777 people.

Nearest Asml Hld long CALL Option Payoff at Expiration

Asml Hld's implied volatility is one of the determining factors in the pricing options written on Asml Hld NY. Implied volatility approximates the future value of Asml Hldusing the option's current value. Options with high implied volatility have higher premiums and can be used to hedge the downside of investing in Asml Hld NY over a specific time period.
View All Asml Hld options
2021-09-24 CALL at $400.0 is a CALL option contract on Asml Hld's common stock with a strick price of 400.0 expiring on 2021-09-24. The contract was not traded in recent days and, as of today, has 2 days remaining before the expiration. The option is currently trading at a bid price of $435.1, and an ask price of $443.2. The implied volatility as of the 22nd of September is 373.6971.
 Profit 
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      Asml Hld Price At Expiration 

Asml Hld Investment Opportunity

Asml Hld NY has a volatility of 1.52 and is 2.24 times more volatile than DOW. 12  of all equities and portfolios are less risky than Asml Hld. Compared to the overall equity markets, volatility of historical daily returns of Asml Hld NY is lower than 12 () of all global equities and portfolios over the last 90 days. Use Asml Hld NY to enhance returns of your portfolios. The stock experiences a large bullish trend. Check odds of Asml Hld to be traded at $951.21 in 90 days. . Let's try to break down what Asml Hld's beta means in this case. As returns on the market increase, Asml Hld returns are expected to increase less than the market. However, during the bear market, the loss on holding Asml Hld will be expected to be smaller as well.

Significant diversification

The correlation between Asml Hld NY and DJI is Significant diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Asml Hld NY and DJI in the same portfolio assuming nothing else is changed.

Asml Hld Additional Risk Indicators

The analysis of Asml Hld'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 Hld's investment and either accepting that risk or mitigating it. Along with some common measures of Asml Hld stock 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(1.44)
Mean Deviation3.04
Coefficient Of Variation(1,104)
Standard Deviation11.52
Variance132.64
Information Ratio(0.09)
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing similar equities with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

Asml Hld 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.
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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 Hld 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 Hld'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 Hld'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 Hld NY.
Please continue to Trending Equities. Note that the Asml Hld NY information on this page should be used as a complementary analysis to other Asml Hld'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 Shere Portfolio module to track or share privately all of your investments from the convenience of any device.

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When running Asml Hld NY price analysis, check to measure Asml Hld'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 Hld is operating at the current time. Most of Asml Hld's value examination focuses on studying past and present price action to predict the probability of Asml Hld's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Asml Hld's price. Additionally, you may evaluate how the addition of Asml Hld to your portfolios can decrease your overall portfolio volatility.
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The market value of Asml Hld NY is measured differently than its book value, which is the value of Asml Hld that is recorded on the company's balance sheet. Investors also form their own opinion of Asml Hld's value that differs from its market value or its book value, called intrinsic value, which is Asml Hld'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 Hld's market value can be influenced by many factors that don't directly affect Asml Hld NY underlying business (such as pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between Asml Hld's value and its price as these two are different measures arrived at by different means. Investors typically determine Asml Hld value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Asml Hld'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.