Indie Stock Volatility

INDI -  USA Stock  

USD 11.09  0.23  2.03%

Indie Semiconductor appears to be somewhat reliable, given 3 months investment horizon. Indie Semiconductor holds Efficiency (Sharpe) Ratio of 0.12, which attests that the entity had 0.12% of return per unit of risk over the last 3 months. Our standpoint towards determining the volatility of a stock is to use all available market data together with stock-specific technical indicators that cannot be diversified away. By evaluating Indie Semiconductor technical indicators you can presently evaluate if the expected return of 0.5% is justified by implied risk. Please utilize Indie Semiconductor's Risk Adjusted Performance of 0.0865, downside deviation of 3.61, and Market Risk Adjusted Performance of (0.79) to validate if our risk estimates are consistent with your expectations.

Indie Volatility 

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

30 Days Market Risk

Somewhat reliable

Chance of Distress

Average

30 Days Economic Sensitivity

Moves slightly opposite to the market

Indie Semiconductor Market Sensitivity And Downside Risk

Indie Semiconductor's beta coefficient measures the volatility of Indie 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 Indie stock's returns against your selected market. In other words, Indie Semiconductor's beta of -0.52 provides an investor with an approximation of how much risk Indie Semiconductor stock can potentially add to one of your existing portfolios.
Let's try to break down what Indie's beta means in this case. As returns on the market increase, returns on owning Indie Semiconductor are expected to decrease at a much lower rate. During the bear market, Indie Semiconductor is likely to outperform the market.
3 Months Beta |Analyze Indie Semiconductor Demand Trend
Check current 90 days Indie Semiconductor correlation with market (DOW)

Indie Beta

    
  -0.52  
Indie 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

    
  4.21  
It is essential to understand the difference between upside risk (as represented by Indie Semiconductor's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Indie Semiconductor stock's daily returns or price. Since the actual investment returns on holding a position in Indie Semiconductor 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 Indie Semiconductor.

Indie Semiconductor Implied Volatility

    
  75.11  
Indie Semiconductor's implied volatility exposes the market's sentiment of Indie Semiconductor Cl stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if Indie Semiconductor'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 Indie Semiconductor stock will not fluctuate a lot when Indie Semiconductor's options near their expiration.

Indie Semiconductor 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 Indie Semiconductor price series. View also all equity analysis or get more info about median price price transform indicator.

Indie Semiconductor Projected Return Density Against Market

Given the investment horizon of 90 days Indie Semiconductor Cl has a beta of -0.5193 . This usually indicates as returns on benchmark increase, returns on holding Indie Semiconductor are expected to decrease at a much lower rate. During the bear market, however, Indie Semiconductor Cl 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 Indie Semiconductor 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 Indie Semiconductor 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 Indie 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 0.4188, implying that it can generate a 0.42 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

Indie Semiconductor 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 Indie Semiconductor 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 Indie Semiconductor 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 Indie 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 Indie Semiconductor is 833.57. The daily returns are distributed with a variance of 17.7 and standard deviation of 4.21. The mean deviation of Indie Semiconductor Cl is currently at 3.04. For similar time horizon, the selected benchmark (DOW) has volatility of 0.79
α
Alpha over DOW
0.42
β
Beta against DOW-0.52
σ
Overall volatility
4.21
Ir
Information ratio 0.1

Indie Semiconductor Stock Return Volatility

Indie Semiconductor historical daily return volatility represents how much Indie Semiconductor 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 4.2075% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 0.7199% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Indie Semiconductor Volatility

Volatility is a rate at which the price of Indie Semiconductor 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 Indie Semiconductor may increase or decrease. In other words, similar to Indie's beta indicator, it measures the risk of Indie Semiconductor and helps estimate the fluctuations that may happen in a short period of time. So if prices of Indie Semiconductor 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 Capitalization570.1 M589.3 M
Indie Semiconductor is entity of United States. It is traded as Stock on NASDAQ exchange.

Nearest Indie long CALL Option Payoff at Expiration

Indie Semiconductor's implied volatility is one of the determining factors in the pricing options written on Indie Semiconductor Cl. Implied volatility approximates the future value of Indie Semiconductorusing the option's current value. Options with high implied volatility have higher premiums and can be used to hedge the downside of investing in Indie Semiconductor Cl over a specific time period.
View All Indie options
2021-11-19 CALL at $2.5 is a CALL option contract on Indie Semiconductor's common stock with a strick price of 2.5 expiring on 2021-11-19. The contract was last traded on 2021-09-21 at 15:19:38 for $9.4 and, as of today, has 33 days remaining before the expiration. The option is currently trading at a bid price of $8.5, and an ask price of $8.7. The implied volatility as of the 18th of October 2021 is 204.0437.
 Profit 
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      Indie Semiconductor Price At Expiration 

Indie Semiconductor Investment Opportunity

Indie Semiconductor Cl has a volatility of 4.21 and is 5.85 times more volatile than DOW. 36  of all equities and portfolios are less risky than Indie Semiconductor. Compared to the overall equity markets, volatility of historical daily returns of Indie Semiconductor Cl is lower than 36 () of all global equities and portfolios over the last 90 days. Use Indie Semiconductor Cl to protect your portfolios against small market fluctuations. The stock experiences an unexpected downward movement. The market is reacting to new fundamentals. Check odds of Indie Semiconductor to be traded at $10.65 in 90 days. . Let's try to break down what Indie's beta means in this case. As returns on the market increase, returns on owning Indie Semiconductor are expected to decrease at a much lower rate. During the bear market, Indie Semiconductor is likely to outperform the market.

Good diversification

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

Indie Semiconductor Additional Risk Indicators

The analysis of Indie Semiconductor'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 Indie Semiconductor's investment and either accepting that risk or mitigating it. Along with some common measures of Indie Semiconductor 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 Performance0.0865
Market Risk Adjusted Performance(0.79)
Mean Deviation3.1
Semi Deviation3.32
Downside Deviation3.61
Coefficient Of Variation1007.22
Standard Deviation4.29
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.

Indie Semiconductor 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 Indie Semiconductor 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. Indie Semiconductor'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, Indie Semiconductor'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 Indie Semiconductor Cl.
Please see Risk vs Return Analysis. Note that the Indie Semiconductor information on this page should be used as a complementary analysis to other Indie Semiconductor'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 Transaction History module to view history of all your transactions and understand their impact on performance.

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