Sirius Stock Volatility

SIRI -  USA Stock  

USD 6.35  0.08  1.24%

We consider Sirius XM somewhat reliable. Sirius XM Holdings owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0254, which indicates the firm had 0.0254% of return per unit of risk over the last 3 months. Our standpoint towards measuring the volatility of a stock is to use all available market data together with stock-specific technical indicators that cannot be diversified away. We have found twenty-seven technical indicators for Sirius XM Holdings, which you can use to evaluate the future volatility of the company. Please validate Sirius XM Semi Deviation of 1.49, risk adjusted performance of 0.0162, and Coefficient Of Variation of 7170.37 to confirm if the risk estimate we provide is consistent with the expected return of 0.0454%.

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

90 Days Market Risk

Somewhat reliable

Chance of Distress

Below Average

90 Days Economic Sensitivity

Almost mirrors the market

Sirius XM Market Sensitivity And Downside Risk

Sirius XM's beta coefficient measures the volatility of Sirius 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 Sirius stock's returns against your selected market. In other words, Sirius XM's beta of 1.11 provides an investor with an approximation of how much risk Sirius XM stock can potentially add to one of your existing portfolios.
Let's try to break down what Sirius's beta means in this case. Sirius XM returns are very sensitive to returns on the market. As the market goes up or down, Sirius XM is expected to follow.
3 Months Beta |Analyze Sirius XM Holdings Demand Trend
Check current 90 days Sirius XM correlation with market (DOW)

Sirius Beta

    
  1.11  
Sirius 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

    
  1.79  
It is essential to understand the difference between upside risk (as represented by Sirius XM's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Sirius XM stock's daily returns or price. Since the actual investment returns on holding a position in Sirius XM 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 Sirius XM.

Sirius XM Holdings Stock Volatility Analysis

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

Sirius XM Projected Return Density Against Market

Given the investment horizon of 90 days the stock has the beta coefficient of 1.1061 . This usually implies Sirius XM Holdings market returns are reactive to returns on the market. As the market goes up or down, Sirius XM is expected to follow.
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 Sirius XM or Communication 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 Sirius XM 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 Sirius 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. Sirius XM Holdings is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

Sirius XM 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 Sirius XM or Communication 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 Sirius XM 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 Sirius 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 Sirius XM is 3932.65. The daily returns are distributed with a variance of 3.19 and standard deviation of 1.79. The mean deviation of Sirius XM Holdings is currently at 1.33. For similar time horizon, the selected benchmark (DOW) has volatility of 0.75
α
Alpha over DOW
-0.02
β
Beta against DOW1.11
σ
Overall volatility
1.79
Ir
Information ratio -0.01

Sirius XM Stock Return Volatility

Sirius XM historical daily return volatility represents how much Sirius XM 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 1.7864% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 0.7437% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Sirius XM Volatility

Volatility is a rate at which the price of Sirius XM 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 Sirius XM may increase or decrease. In other words, similar to Sirius's beta indicator, it measures the risk of Sirius XM and helps estimate the fluctuations that may happen in a short period of time. So if prices of Sirius XM 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 Capitalization19.3 B20.8 B
Sirius XM Holdings Inc. provides satellite radio services on a subscription fee basis in the United States. Sirius XM Holdings Inc. is a subsidiary of Liberty Media Corporation. Sirius XM operates under Broadcasting classification in the United States and is traded on NASDAQ Exchange. It employs 5726 people.

Nearest Sirius long CALL Option Payoff at Expiration

Sirius XM's implied volatility is one of the determining factors in the pricing options written on Sirius XM Holdings. Implied volatility approximates the future value of Sirius XMusing the option's current value. Options with high implied volatility have higher premiums and can be used to hedge the downside of investing in Sirius XM Holdings over a specific time period.
View All Sirius options
SIRI210730C00001000 is a CALL option contract on Sirius XM's common stock with a strick price of 1.0 expiring on 2021-07-30. The contract was not traded in recent days and, as of today, has 4 days remaining before the expiration. The option is currently trading at a bid price of $5.3, and an ask price of $5.7. The implied volatility as of the 26th of July is 869.7224.
 Profit 
Share
      Sirius XM Price At Expiration 

Sirius XM Investment Opportunity

Sirius XM Holdings has a volatility of 1.79 and is 2.42 times more volatile than DOW. 15  of all equities and portfolios are less risky than Sirius XM. Compared to the overall equity markets, volatility of historical daily returns of Sirius XM Holdings is lower than 15 () of all global equities and portfolios over the last 90 days. Use Sirius XM Holdings 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 Sirius XM to be traded at $6.16 in 90 days. . Let's try to break down what Sirius's beta means in this case. Sirius XM returns are very sensitive to returns on the market. As the market goes up or down, Sirius XM is expected to follow.

Very weak diversification

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

Sirius XM Additional Risk Indicators

The analysis of Sirius XM'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 Sirius XM's investment and either accepting that risk or mitigating it. Along with some common measures of Sirius XM 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 Performance0.0162
Market Risk Adjusted Performance0.0232
Mean Deviation1.32
Semi Deviation1.49
Downside Deviation1.54
Coefficient Of Variation7170.37
Standard Deviation1.76
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.

Sirius XM 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 Sirius XM 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. Sirius XM'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, Sirius XM'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 Sirius XM Holdings.
Additionally, take a look at World Market Map. Note that the Sirius XM Holdings information on this page should be used as a complementary analysis to other Sirius XM'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.

Complementary Tools for Sirius Stock analysis

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