JP Morgan Stock Volatility

JPM -  USA Stock  

USD 151.45  0.20  0.13%

JP Morgan Chase retains Efficiency (Sharpe Ratio) of -9.0E-4, which attests that the entity had -9.0E-4% of return per unit of price deviation over the last 3 months. Macroaxis outlook to 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. JP Morgan exposes twenty-seven different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out JP Morgan Chase Semi Deviation of 1.32, standard deviation of 1.33, and Market Risk Adjusted Performance of 0.0403 to validate the risk estimate we provide.

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

90 Days Market Risk

Very steady

Chance of Distress

Close to Average

90 Days Economic Sensitivity

Responds to the market

JP Morgan Market Sensitivity And Downside Risk

JP Morgan's beta coefficient measures the volatility of JP Morgan 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 JP Morgan stock's returns against your selected market. In other words, JP Morgan's beta of 1.39 provides an investor with an approximation of how much risk JP Morgan stock can potentially add to one of your existing portfolios.
Let's try to break down what JP Morgan's beta means in this case. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, JP Morgan will likely underperform.
3 Months Beta |Analyze JP Morgan Chase Demand Trend
Check current 90 days JP Morgan correlation with market (DOW)

JP Morgan Beta

    
  1.39  
JP Morgan 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

    
  1.34  
It is essential to understand the difference between upside risk (as represented by JP Morgan's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of JP Morgan stock's daily returns or price. Since the actual investment returns on holding a position in JP Morgan 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 JP Morgan.

JP Morgan Chase Stock Volatility Analysis

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

JP Morgan Projected Return Density Against Market

Considering the 90-day investment horizon the stock has the beta coefficient of 1.392 . This indicates as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are projected to be negative, JP Morgan will likely underperform.
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 JP Morgan or Financial Services 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 JP Morgan 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 JP Morgan 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. JP Morgan Chase is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

JP Morgan 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 JP Morgan or Financial Services 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 JP Morgan 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 JP Morgan 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.
Considering the 90-day investment horizon the coefficient of variation of JP Morgan is -113684.21. The daily returns are distributed with a variance of 1.8 and standard deviation of 1.34. The mean deviation of JP Morgan Chase is currently at 1.04. For similar time horizon, the selected benchmark (DOW) has volatility of 0.74
α
Alpha over DOW
-0.03
β
Beta against DOW1.39
σ
Overall volatility
1.34
Ir
Information ratio -0.0067

JP Morgan Stock Return Volatility

JP Morgan historical daily return volatility represents how much JP Morgan stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The company has volatility of 1.3408% on return distribution over 90 days investment horizon. By contrast, DOW inherits 0.7526% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About JP Morgan Volatility

Volatility is a rate at which the price of JP Morgan 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 JP Morgan may increase or decrease. In other words, similar to JP Morgan's beta indicator, it measures the risk of JP Morgan and helps estimate the fluctuations that may happen in a short period of time. So if prices of JP Morgan 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 Capitalization387.3 B361 B
JPMorgan Chase Co. operates as a financial services company worldwide. JPMorgan Chase Co. was founded in 1799 and is headquartered in New York, New York. JP Morgan operates under BanksDiversified classification in the United States and is traded on New York Stock Exchange. It employs 259350 people.

Nearest JP Morgan long CALL Option Payoff at Expiration

JP Morgan's implied volatility is one of the determining factors in the pricing options written on JP Morgan Chase. Implied volatility approximates the future value of JP Morganusing the option's current value. Options with high implied volatility have higher premiums and can be used to hedge the downside of investing in JP Morgan Chase over a specific time period.
View All JP Morgan options
JPM210730C00085000 is a CALL option contract on JP Morgan's common stock with a strick price of 85.0 expiring on 2021-07-30. The contract was not traded in recent days and, as of today, has 3 days remaining before the expiration. The option is currently trading at a bid price of $65.6, and an ask price of $67.15. The implied volatility as of the 27th of July is 308.1625.
 Profit 
Share
      JP Morgan Price At Expiration 

JP Morgan Investment Opportunity

JP Morgan Chase has a volatility of 1.34 and is 1.79 times more volatile than DOW. 11  of all equities and portfolios are less risky than JP Morgan. Compared to the overall equity markets, volatility of historical daily returns of JP Morgan Chase is lower than 11 () of all global equities and portfolios over the last 90 days. Use JP Morgan Chase to protect your portfolios against small market fluctuations. The stock experiences a normal downward trend and little activity. Check odds of JP Morgan to be traded at $149.94 in 90 days. . Let's try to break down what JP Morgan's beta means in this case. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, JP Morgan will likely underperform.

Poor diversification

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

JP Morgan Additional Risk Indicators

The analysis of JP Morgan'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 JP Morgan's investment and either accepting that risk or mitigating it. Along with some common measures of JP Morgan 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 Performance0.0333
Market Risk Adjusted Performance0.0403
Mean Deviation1.04
Semi Deviation1.32
Downside Deviation1.39
Coefficient Of Variation2556.66
Standard Deviation1.33
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.

JP Morgan 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 JP Morgan 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. JP Morgan'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, JP Morgan'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 JP Morgan Chase.
Please see Risk vs Return Analysis. Note that the JP Morgan Chase information on this page should be used as a complementary analysis to other JP Morgan'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 Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.

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