Chemocentryx Stock Volatility

CCXI -  USA Stock  

USD 14.37  0.62  4.14%

Chemocentryx secures Sharpe Ratio (or Efficiency) of -0.0977, which signifies that the company had -0.0977% of return per unit of standard deviation over the last 3 months. Macroaxis philosophy in foreseeing the risk of any stock is to look at both systematic and unsystematic factors of the business, including all available market data and technical indicators. Chemocentryx exposes twenty-seven different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Chemocentryx risk adjusted performance of (0.05), and Mean Deviation of 4.71 to double-check the risk estimate we provide.

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

90 Days Market Risk

Slightly risky

Chance of Distress

Below Average

90 Days Economic Sensitivity

Moves slightly opposite to the market

Chemocentryx Market Sensitivity And Downside Risk

Chemocentryx's beta coefficient measures the volatility of Chemocentryx 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 Chemocentryx stock's returns against your selected market. In other words, Chemocentryx's beta of -0.71 provides an investor with an approximation of how much risk Chemocentryx stock can potentially add to one of your existing portfolios.
Let's try to break down what Chemocentryx's beta means in this case. As returns on the market increase, returns on owning Chemocentryx are expected to decrease at a much lower rate. During the bear market, Chemocentryx is likely to outperform the market.
3 Months Beta |Analyze Chemocentryx Demand Trend
Check current 90 days Chemocentryx correlation with market (DOW)

Chemocentryx Beta

    
  -0.71  
Chemocentryx 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

    
  10.37  
It is essential to understand the difference between upside risk (as represented by Chemocentryx's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Chemocentryx stock's daily returns or price. Since the actual investment returns on holding a position in Chemocentryx 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 Chemocentryx.

Chemocentryx Stock Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Chemocentryx 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.

Chemocentryx Projected Return Density Against Market

Given the investment horizon of 90 days Chemocentryx has a beta of -0.7113 suggesting as returns on benchmark increase, returns on holding Chemocentryx are expected to decrease at a much lower rate. During the bear market, however, Chemocentryx is likely to outperform the market.
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 Chemocentryx or Healthcare 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 Chemocentryx 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 Chemocentryx 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. Chemocentryx is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

Chemocentryx 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 Chemocentryx or Healthcare 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 Chemocentryx 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 Chemocentryx 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 Chemocentryx is -1023.45. The daily returns are distributed with a variance of 107.52 and standard deviation of 10.37. The mean deviation of Chemocentryx is currently at 4.83. For similar time horizon, the selected benchmark (DOW) has volatility of 0.75
α
Alpha over DOW
-0.84
β
Beta against DOW-0.71
σ
Overall volatility
10.37
Ir
Information ratio -0.09

Chemocentryx Stock Return Volatility

Chemocentryx historical daily return volatility represents how much Chemocentryx 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 10.3693% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 0.7434% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Chemocentryx Volatility

Volatility is a rate at which the price of Chemocentryx 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 Chemocentryx may increase or decrease. In other words, similar to Chemocentryx's beta indicator, it measures the risk of Chemocentryx and helps estimate the fluctuations that may happen in a short period of time. So if prices of Chemocentryx 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 Capitalization4.3 B4.6 B
ChemoCentryx, Inc., a clinical-stage biopharmaceutical company, focuses on the development and commercialization of new medications for inflammatory disorders, autoimmune diseases, and cancer in the United States. ChemoCentryx, Inc. was incorporated in 1996 and is headquartered in Mountain View, California. Chemocentryx operates under Biotechnology classification in the United States and is traded on NASDAQ Exchange. It employs 133 people.

Nearest Chemocentryx long CALL Option Payoff at Expiration

Chemocentryx's implied volatility is one of the determining factors in the pricing options written on Chemocentryx. Implied volatility approximates the future value of Chemocentryxusing the option's current value. Options with high implied volatility have higher premiums and can be used to hedge the downside of investing in Chemocentryx over a specific time period.
View All Chemocentryx options
CCXI210820C00002500 is a CALL option contract on Chemocentryx's common stock with a strick price of 2.5 expiring on 2021-08-20. The contract was last traded on 2021-07-15 at 10:49:18 for $12.6 and, as of today, has 28 days remaining before the expiration. The option is currently trading at a bid price of $12.4, and an ask price of $12.7. The implied volatility as of the 24th of July is 335.629.
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      Chemocentryx Price At Expiration 

Chemocentryx Investment Opportunity

Chemocentryx has a volatility of 10.37 and is 14.01 times more volatile than DOW. 88  of all equities and portfolios are less risky than Chemocentryx. Compared to the overall equity markets, volatility of historical daily returns of Chemocentryx is higher than 88 () of all global equities and portfolios over the last 90 days. Use Chemocentryx to protect your portfolios against small market fluctuations. The stock experiences a very speculative upward sentiment. Check odds of Chemocentryx to be traded at $13.65 in 90 days. . Let's try to break down what Chemocentryx's beta means in this case. As returns on the market increase, returns on owning Chemocentryx are expected to decrease at a much lower rate. During the bear market, Chemocentryx is likely to outperform the market.

Good diversification

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

Chemocentryx Additional Risk Indicators

The analysis of Chemocentryx'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 Chemocentryx's investment and either accepting that risk or mitigating it. Along with some common measures of Chemocentryx 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 Performance1.22
Mean Deviation4.71
Coefficient Of Variation(1,201)
Standard Deviation10.22
Variance104.49
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.

Chemocentryx 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 Chemocentryx 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. Chemocentryx'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, Chemocentryx'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 Chemocentryx.
Continue to Trending Equities. Note that the Chemocentryx information on this page should be used as a complementary analysis to other Chemocentryx'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 Bond Directory module to find actively traded corporate debentures issued by US companies.

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