1-day Volatility

• 1-day
• 5-day
• 10-day
• 20-day
• 50-day
• 100-day

• ETFs
• Stocks

Scatter plot for 1-day performance as of 2024-Dec-20 close. Showing elevated Swing Volatility above threshold (> 1.13%). Threshold is 2.0x of S&P500 volatility

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Sector:  

All Communication Services Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Real Estate Utilities  View

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Swing Volatility Elevated Other

Axes Scale Log Linear

Calculation Interpretation

Calculation Methodology: Swing volume for current chart is calculated using Highs & Lows for trailing 1-day period from 2024-Dec-20

Swing Volatility is calculated for each security by looking at % of (High - Low) / Low for given time period

Elevated Volatility is segmented into elevated (i.e. higher relative to S&P 500 index by a multiplier) for presentation purposes

Other segment shows the remaining Stocks/ETFs not included in the Elevated segment

How to use this:

Swing Volatility separates Stocks/ETFs trading in wider ranges from their peers

Investors often use this to spot mean reversion trends and swing trade ideas

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Interpretation above is not comprehensive but rather just a starting point of understanding. Experienced market professionals typically use a combination of different datapoints to drive decisions