Incyte Stock Volatility

INCY -  USA Stock  

USD 65.50  0.92  1.42%

Incyte Corp holds Efficiency (Sharpe) Ratio of -0.18, which attests that the entity had -0.18% of return per unit of risk over the last 3 months. Macroaxis standpoint towards determining 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. Incyte Corp exposes twenty-eight different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Incyte Corp market risk adjusted performance of (1.30), and Risk Adjusted Performance of (0.13) to validate the risk estimate we provide.

Incyte Volatility 

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

60 Days Market Risk

Very steady

Chance of Distress

Close to Average

60 Days Economic Sensitivity

Slowly supersedes the market

Incyte Corp Market Sensitivity And Downside Risk

Incyte Corp's beta coefficient measures the volatility of Incyte 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 Incyte stock's returns against your selected market. In other words, Incyte Corp's beta of 0.22 provides an investor with an approximation of how much risk Incyte Corp stock can potentially add to one of your existing portfolios.
Let's try to break down what Incyte's beta means in this case. As returns on the market increase, Incyte Corp returns are expected to increase less than the market. However, during the bear market, the loss on holding Incyte Corp will be expected to be smaller as well.
3 Months Beta |Analyze Incyte Corp Demand Trend
Check current 90 days Incyte Corp correlation with market (DOW)

Incyte Beta

    
  0.22  
Incyte 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

    
  1.58  
It is essential to understand the difference between upside risk (as represented by Incyte Corp's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Incyte Corp stock's daily returns or price. Since the actual investment returns on holding a position in Incyte Corp 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 Incyte Corp.

Incyte Corp Implied Volatility

    
  39.04  
Incyte Corp's implied volatility exposes the market's sentiment of Incyte Corp stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if Incyte Corp'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 Incyte Corp stock will not fluctuate a lot when Incyte Corp's options near their expiration.

Incyte Corp Stock Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. The Median Price line plots median indexes of Incyte Corp price series. View also all equity analysis or get more info about median price price transform indicator.

Incyte Corp Projected Return Density Against Market

Given the investment horizon of 90 days Incyte Corp has a beta of 0.2202 . This usually indicates as returns on the market go up, Incyte Corp average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Incyte Corp 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 Incyte Corp 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 Incyte Corp 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 Incyte 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. Incyte Corp is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

Incyte Corp 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 Incyte Corp 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 Incyte Corp 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 Incyte 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 Incyte Corp is -546.12. The daily returns are distributed with a variance of 2.5 and standard deviation of 1.58. The mean deviation of Incyte Corp is currently at 1.08. For similar time horizon, the selected benchmark (DOW) has volatility of 0.78
α
Alpha over DOW
-0.29
β
Beta against DOW0.22
σ
Overall volatility
1.58
Ir
Information ratio -0.19

Incyte Corp Stock Return Volatility

Incyte Corp historical daily return volatility represents how much Incyte Corp 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 1.5819% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 0.7144% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Incyte Corp Volatility

Volatility is a rate at which the price of Incyte Corp 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 Incyte Corp may increase or decrease. In other words, similar to Incyte's beta indicator, it measures the risk of Incyte Corp and helps estimate the fluctuations that may happen in a short period of time. So if prices of Incyte Corp 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 Capitalization19 B17.2 B
Incyte Corporation, a biopharmaceutical company, focuses on the discovery, development, and commercialization of proprietary therapeutics in the United States and internationally. The company was incorporated in 1991 and is headquartered in Wilmington, Delaware. Incyte Corp operates under Biotechnology classification in the United States and is traded on NASDAQ Exchange. It employs 1773 people.

Nearest Incyte long CALL Option Payoff at Expiration

Incyte Corp's implied volatility is one of the determining factors in the pricing options written on Incyte Corp. Implied volatility approximates the future value of Incyte Corpusing the option's current value. Options with high implied volatility have higher premiums and can be used to hedge the downside of investing in Incyte Corp over a specific time period.
View All Incyte options
2021-11-19 CALL at $32.5 is a CALL option contract on Incyte Corp's common stock with a strick price of 32.5 expiring on 2021-11-19. The contract was not traded in recent days and, as of today, has 31 days remaining before the expiration. The option is currently trading at a bid price of $29.6, and an ask price of $34.2. The implied volatility as of the 19th of October is 218.4252.
 Profit 
Share
      Incyte Corp Price At Expiration 

Incyte Corp Investment Opportunity

Incyte Corp has a volatility of 1.58 and is 2.23 times more volatile than DOW. 13  of all equities and portfolios are less risky than Incyte Corp. Compared to the overall equity markets, volatility of historical daily returns of Incyte Corp is lower than 13 () of all global equities and portfolios over the last 90 days. Use Incyte Corp to enhance returns of your portfolios. The stock experiences a large bullish trend. Check odds of Incyte Corp to be traded at $72.05 in 90 days. . Let's try to break down what Incyte's beta means in this case. As returns on the market increase, Incyte Corp returns are expected to increase less than the market. However, during the bear market, the loss on holding Incyte Corp will be expected to be smaller as well.

Average diversification

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

Incyte Corp Additional Risk Indicators

The analysis of Incyte Corp'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 Incyte Corp's investment and either accepting that risk or mitigating it. Along with some common measures of Incyte Corp 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(0.13)
Market Risk Adjusted Performance(1.30)
Mean Deviation1.08
Coefficient Of Variation(565.76)
Standard Deviation1.58
Variance2.5
Information Ratio(0.19)
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.

Incyte Corp 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 Incyte Corp 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. Incyte Corp'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, Incyte Corp'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 Incyte Corp.
Please see Risk vs Return Analysis. Note that the Incyte Corp information on this page should be used as a complementary analysis to other Incyte Corp'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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.

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The market value of Incyte Corp is measured differently than its book value, which is the value of Incyte that is recorded on the company's balance sheet. Investors also form their own opinion of Incyte Corp's value that differs from its market value or its book value, called intrinsic value, which is Incyte Corp'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 Incyte Corp's market value can be influenced by many factors that don't directly affect Incyte Corp 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 Incyte Corp's value and its price as these two are different measures arrived at by different means. Investors typically determine Incyte Corp value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Incyte Corp'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.