Mitek Systems Stock Volatility
| MITK Stock | USD 11.98 0.19 1.56% |
Mitek Systems has Sharpe Ratio of -0.0142, which conveys that the firm had a -0.0142% return per unit of risk over the last 3 months. Mitek Systems exposes twenty-nine different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Mitek Systems' Downside Deviation of 3.27, mean deviation of 1.81, and Risk Adjusted Performance of 0.0212 to check out the risk estimate we provide. Key indicators related to Mitek Systems' volatility include:
30 Days Market Risk | Chance Of Distress | 30 Days Economic Sensitivity |
Mitek Systems 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 Mitek daily returns, and it is calculated using variance and standard deviation. We also use Mitek's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Mitek Systems volatility.
Mitek |
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Mitek Systems can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Mitek Systems at lower prices. For example, an investor can purchase Mitek stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of Mitek Systems' stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.
Moving against Mitek Stock
| 0.74 | QH | QuhuoLtd | PairCorr |
| 0.56 | DOMO | Domo Inc Financial Report 23rd of May 2024 | PairCorr |
| 0.54 | AI | C3 Ai Inc Financial Report 29th of May 2024 | PairCorr |
| 0.49 | VCSA | Vacasa Inc Financial Report 14th of May 2024 | PairCorr |
| 0.45 | VS | Versus Systems Financial Report 20th of May 2024 | PairCorr |
| 0.42 | PD | Pagerduty Financial Report 6th of June 2024 | PairCorr |
| 0.41 | ZM | Zoom Video Communications Financial Report 27th of May 2024 | PairCorr |
Mitek Systems Market Sensitivity And Downside Risk
Mitek Systems' beta coefficient measures the volatility of Mitek stock compared to the systematic risk of the entire 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 Mitek stock's returns against your selected market. In other words, Mitek Systems's beta of 1.54 provides an investor with an approximation of how much risk Mitek Systems stock can potentially add to one of your existing portfolios. Mitek Systems shows above-average downside volatility for the selected time horizon. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Mitek Systems' stock risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Mitek Systems' stock price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different financial instruments as prices fall.
3 Months Beta |Analyze Mitek Systems Demand TrendCheck current 90 days Mitek Systems correlation with market (NYSE Composite)Mitek Beta |
Mitek standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity 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 | 2.61 |
It is essential to understand the difference between upside risk (as represented by Mitek Systems's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Mitek Systems' daily returns or price. Since the actual investment returns on holding a position in mitek 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 Mitek Systems.
Using Mitek Put Option to Manage Risk
Put options written on Mitek Systems grant holders of the option the right to sell a specified amount of Mitek Systems at a specified price within a specified time frame. The put buyer has a limited loss and, while not fully unlimited gains, as the price of Mitek Stock cannot fall below zero, the put buyer does gain as the price drops. So, one way investors can hedge Mitek Systems' position is by buying a put option against it. The put option used this way is usually referred to as insurance. If an undesired outcome occurs and loss on holding Mitek Systems will be realized, the loss incurred will be offset by the profits made with the option trade.
Mitek Systems' PUT expiring on 2024-04-19
Profit |
| Mitek Systems Price At Expiration |
Current Mitek Systems Insurance Chain
| Delta | Gamma | Open Int | Expiration | Current Spread | Last Price | |||
Put | 2024-04-19 PUT at $15.0 | -0.8001 | 0.0997 | 7 | 2024-04-19 | 2.8 - 3.3 | 3.01 | View |
Put | 2024-04-19 PUT at $12.5 | -0.6899 | 0.372 | 507 | 2024-04-19 | 0.3 - 0.7 | 0.45 | View |
Mitek Systems Stock Volatility Analysis
Volatility refers to the frequency at which Mitek Systems stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Mitek Systems' price changes. Investors will then calculate the volatility of Mitek Systems' stock to predict their future moves. A stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A stock with relatively stable price changes has low volatility. A highly volatile stock is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Mitek Systems' volatility:
Historical Volatility
This type of stock volatility measures Mitek Systems' fluctuations based on previous trends. It's commonly used to predict Mitek Systems' future behavior based on its past. However, it cannot conclusively determine the future direction of the stock.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Mitek Systems' current market price. This means that the stock will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Mitek Systems' to be redeemed at a future date.Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. Mitek Systems 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.
Mitek Systems Projected Return Density Against Market
Given the investment horizon of 90 days the stock has the beta coefficient of 1.543 . 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, Mitek Systems 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 Mitek Systems or Software 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 Mitek Systems' 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 Mitek 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.
Mitek Systems has a negative alpha, implying that the risk taken by holding this instrument is not justified. The company is significantly underperforming the NYSE Composite. Predicted Return Density |
| Returns |
What Drives a Mitek Systems Price Volatility?
Several factors can influence a stock's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.The Company's Performance
Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.Mitek Systems Stock Risk Measures
Given the investment horizon of 90 days the coefficient of variation of Mitek Systems is -7049.85. The daily returns are distributed with a variance of 6.79 and standard deviation of 2.61. The mean deviation of Mitek Systems is currently at 1.8. For similar time horizon, the selected benchmark (NYSE Composite) has volatility of 0.62
α | Alpha over NYSE Composite | -0.04 | |
β | Beta against NYSE Composite | 1.54 | |
σ | Overall volatility | 2.61 | |
Ir | Information ratio | -0.0045 |
Mitek Systems Stock Return Volatility
Mitek Systems historical daily return volatility represents how much of Mitek Systems stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company inherits 2.6053% risk (volatility on return distribution) over the 90 days horizon. By contrast, NYSE Composite accepts 0.6214% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Mitek Systems Volatility
Volatility is a rate at which the price of Mitek Systems 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 Mitek Systems may increase or decrease. In other words, similar to Mitek's beta indicator, it measures the risk of Mitek Systems and helps estimate the fluctuations that may happen in a short period of time. So if prices of Mitek Systems 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 Reported | Projected for Next Year | ||
| Selling And Marketing Expenses | 35 M | 33.2 M | |
| Market Cap | 217.4 M | 228.2 M |
Mitek Systems' stock volatility refers to the amount of uncertainty or risk involved with the size of changes in its stock's price. It is a statistical measure of the dispersion of returns on Mitek Stock over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Mitek Systems' price varies over time.
3 ways to utilize Mitek Systems' volatility to invest better
Higher Mitek Systems' stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Mitek Systems stock is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. Mitek Systems stock volatility can provide helpful information for making investment decisions in the following ways:- Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of Mitek Systems investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Mitek Systems' stock can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
- Diversification: Understanding how the volatility of Mitek Systems' stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Mitek Systems Investment Opportunity
Mitek Systems has a volatility of 2.61 and is 4.21 times more volatile than NYSE Composite. 23 percent of all equities and portfolios are less risky than Mitek Systems. You can use Mitek Systems to protect your portfolios against small market fluctuations. The stock experiences a somewhat bearish sentiment, but the market may correct it shortly. Check odds of Mitek Systems to be traded at $11.62 in 90 days.Weak diversification
The correlation between Mitek Systems and NYA is 0.37 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Mitek Systems and NYA in the same portfolio, assuming nothing else is changed.
Mitek Systems Additional Risk Indicators
The analysis of Mitek Systems' 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 Mitek Systems' investment and either accepting that risk or mitigating it. Along with some common measures of Mitek Systems stock's 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 | 0.0212 | |||
| Market Risk Adjusted Performance | 0.0404 | |||
| Mean Deviation | 1.81 | |||
| Semi Deviation | 3.14 | |||
| Downside Deviation | 3.27 | |||
| Coefficient Of Variation | 4557.77 | |||
| Standard Deviation | 2.6 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stocks, we recommend comparing similar stocks with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Mitek Systems 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.
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 Mitek Systems 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. Mitek Systems' 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, Mitek Systems' 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 Mitek Systems.
When determining whether Mitek Systems is a good investment, qualitative aspects like company management, corporate governance, and ethical practices play a significant role. A comparison with peer companies also provides context and helps to understand if Mitek Stock is undervalued or overvalued. This multi-faceted approach, blending both quantitative and qualitative analysis, forms a solid foundation for making an informed investment decision about Mitek Systems Stock. Highlighted below are key reports to facilitate an investment decision about Mitek Systems Stock: Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Mitek Systems. Also, note that the market value of any company could be tightly coupled with the direction of predictive economic indicators such as signals in estimate. For more information on how to buy Mitek Stock please use our How to buy in Mitek Stock guide.You can also try the Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
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When running Mitek Systems' price analysis, check to measure Mitek Systems' 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 Mitek Systems is operating at the current time. Most of Mitek Systems' value examination focuses on studying past and present price action to predict the probability of Mitek Systems' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Mitek Systems' price. Additionally, you may evaluate how the addition of Mitek Systems to your portfolios can decrease your overall portfolio volatility.
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Is Mitek Systems' industry expected to grow? Or is there an opportunity to expand the business' product line in the future? Factors like these will boost the valuation of Mitek Systems. If investors know Mitek will grow in the future, the company's valuation will be higher. The financial industry is built on trying to define current growth potential and future valuation accurately. All the valuation information about Mitek Systems listed above have to be considered, but the key to understanding future value is determining which factors weigh more heavily than others.
Quarterly Earnings Growth 10.323 | Earnings Share (0.06) | Revenue Per Share 3.57 | Quarterly Revenue Growth (0.19) | Return On Assets 0.0065 |
The market value of Mitek Systems is measured differently than its book value, which is the value of Mitek that is recorded on the company's balance sheet. Investors also form their own opinion of Mitek Systems' value that differs from its market value or its book value, called intrinsic value, which is Mitek Systems' 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 Mitek Systems' market value can be influenced by many factors that don't directly affect Mitek Systems' underlying business (such as a pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between Mitek Systems' value and its price as these two are different measures arrived at by different means. Investors typically determine if Mitek Systems is a good investment by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Mitek Systems' 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.