Luna Innovations Stock Volatility

LUNA
 Stock
  

USD 6.46  0.11  1.73%   

Luna Innovations appears to be slightly risky, given 3 months investment horizon. Luna Innovations has Sharpe Ratio of 0.0635, which conveys that the firm had 0.0635% of return per unit of risk over the last 3 months. Our standpoint towards estimating 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-eight technical indicators for Luna Innovations, which you can use to evaluate the future volatility of the firm. Please exercise Luna Innovations' Risk Adjusted Performance of 0.1035, downside deviation of 2.59, and Mean Deviation of 2.45 to check out if our risk estimates are consistent with your expectations.
  
Luna Innovations 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 Luna Innovations daily returns, and it is calculated using variance and standard deviation. We also use Luna Innovations's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Luna Innovations volatility.

30 Days Market Risk

Slightly risky

Chance of Distress

30 Days Economic Sensitivity

Follows the market closely
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Luna Innovations 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 Luna Innovations at lower prices. For example, an investor can purchase Luna Innovations 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 Luna Innovations' 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 together with Luna Innovations

+0.88KYCCFKEYENCE CORPPairCorr
+0.86HXGBYHexagon Ab ADRPairCorr
+0.86HXGBFHEXAGON ABPairCorr
+0.63KEYSKeysight Technologies Fiscal Year End 28th of November 2022 PairCorr
+0.86FTVFortive CorpPairCorr
+0.83TDYTeledyne TechnologiesPairCorr
+0.87GRMNGarminPairCorr

Luna Innovations Market Sensitivity And Downside Risk

Luna Innovations' beta coefficient measures the volatility of Luna Innovations 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 Luna Innovations stock's returns against your selected market. In other words, Luna Innovations's beta of 0.7 provides an investor with an approximation of how much risk Luna Innovations stock can potentially add to one of your existing portfolios.
Luna Innovations currently demonstrates below-average downside deviation. It has Information Ratio of 0.05 and Jensen Alpha of 0.19. However, we advise investors to further question Luna Innovations expected returns to ensure all indicators are consistent with the current outlook about its relatively low value at risk. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Luna Innovations' stock risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Luna Innovations' 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 stocks as prices fall.
3 Months Beta |Analyze Luna Innovations Demand Trend
Check current 90 days Luna Innovations correlation with market (DOW)

Luna Innovations Beta

    
  0.7  
Luna Innovations 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

    
  3.53  
It is essential to understand the difference between upside risk (as represented by Luna Innovations's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Luna Innovations' daily returns or price. Since the actual investment returns on holding a position in luna innovations 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 Luna Innovations.

Using Luna Innovations Put Option to Manage Risk

Put options written on Luna Innovations grant holders of the option the right to sell a specified amount of Luna Innovations 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 Luna Innovations Stock cannot fall below zero, the put buyer does gain as the price drops. So, one way investors can hedge Luna Innovations' 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 Luna Innovations will be realized, the loss incurred will be offset by the profits made with the option trade.

Luna Innovations' PUT expiring on 2022-12-16

   Profit   
Share
       Luna Innovations Price At Expiration  

Current Luna Innovations Insurance Chain

DeltaGammaOpen IntExpirationCurrent SpreadLast Price
Put
2022-12-16 PUT at $12.5-0.89390.063712022-12-165.4 - 6.90.0View
Put
2022-12-16 PUT at $10.0-0.81280.104312022-12-163.3 - 4.20.0View
View All Luna Innovations Options

Luna Innovations Stock Volatility Analysis

Volatility refers to the frequency at which Luna Innovations stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Luna Innovations' price changes. Investors will then calculate the volatility of Luna Innovations' 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 Luna Innovations' volatility:

Historical Volatility

This type of stock volatility measures Luna Innovations' fluctuations based on previous trends. It's commonly used to predict Luna Innovations' 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 Luna Innovations' 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 Luna Innovations' 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. Developed by Larry Williams, the Weighted Close is the average of Luna Innovations high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only Luna Innovations closing price as input.
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Luna Innovations Projected Return Density Against Market

Given the investment horizon of 90 days Luna Innovations has a beta of 0.6953 . This indicates as returns on the market go up, Luna Innovations average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Luna Innovations will be expected to be much smaller as well.
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 Luna Innovations 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 Luna Innovations' 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 Luna Innovations 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 0.1897, implying that it can generate a 0.19 percent excess return over DOW after adjusting for the inherited market risk (beta).
   Predicted Return Density   
       Returns  
Luna Innovations' volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how luna innovations stock's price will differ from the mean after some time.To get its calculation, you should first determine the mean price during the specified period then subtract that from each price point.

What Drives a Luna Innovations Price Volatility?

Several factors can influence a Stock's stock 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.

Luna Innovations 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 Luna Innovations 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 Luna Innovations' 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 Luna Innovations 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 Luna Innovations is 1574.84. The daily returns are distributed with a variance of 12.5 and standard deviation of 3.53. The mean deviation of Luna Innovations is currently at 2.43. For similar time horizon, the selected benchmark (DOW) has volatility of 1.41
α
Alpha over DOW
0.19
β
Beta against DOW0.70
σ
Overall volatility
3.53
Ir
Information ratio 0.0485

Luna Innovations Stock Return Volatility

Luna Innovations historical daily return volatility represents how much of Luna Innovations stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company inherits 3.5349% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 1.374% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
       Timeline  

About Luna Innovations Volatility

Volatility is a rate at which the price of Luna Innovations 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 Luna Innovations may increase or decrease. In other words, similar to Luna Innovations's beta indicator, it measures the risk of Luna Innovations and helps estimate the fluctuations that may happen in a short period of time. So if prices of Luna Innovations 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 2022
Market Capitalization269.8 M291.1 M

Luna Innovations Investment Opportunity

Luna Innovations has a volatility of 3.53 and is 2.58 times more volatile than DOW. 30  of all equities and portfolios are less risky than Luna Innovations. Compared to the overall equity markets, volatility of historical daily returns of Luna Innovations is lower than 30 () of all global equities and portfolios over the last 90 days. Use Luna Innovations to enhance the returns of your portfolios. Benchmarks are essential to demonstrate the utility of optimization algorithms. The stock experiences a large bullish trend. Check odds of Luna Innovations to be traded at $7.11 in 90 days.

Modest diversification

The correlation between Luna Innovations and DJI is 0.28 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Luna Innovations and DJI in the same portfolio, assuming nothing else is changed.

Luna Innovations Additional Risk Indicators

The analysis of Luna Innovations' 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 Luna Innovations' investment and either accepting that risk or mitigating it. Along with some common measures of Luna Innovations 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.
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.

Luna Innovations 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 Luna Innovations 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. Luna Innovations' 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, Luna Innovations' 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 Luna Innovations.
Additionally, see Correlation Analysis. You can also try Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.

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When running Luna Innovations price analysis, check to measure Luna Innovations' 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 Luna Innovations is operating at the current time. Most of Luna Innovations' value examination focuses on studying past and present price action to predict the probability of Luna Innovations' future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Luna Innovations' price. Additionally, you may evaluate how the addition of Luna Innovations to your portfolios can decrease your overall portfolio volatility.
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Is Luna Innovations' 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 Luna Innovations. If investors know Luna Innovations 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 Luna Innovations 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 YOY
1.77
Market Capitalization
212.9 M
Quarterly Revenue Growth YOY
0.43
Return On Assets
(0.0105) 
Return On Equity
(0.0197) 
The market value of Luna Innovations is measured differently than its book value, which is the value of Luna Innovations that is recorded on the company's balance sheet. Investors also form their own opinion of Luna Innovations' value that differs from its market value or its book value, called intrinsic value, which is Luna Innovations' 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 Luna Innovations' market value can be influenced by many factors that don't directly affect Luna Innovations' 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 Luna Innovations' value and its price as these two are different measures arrived at by different means. Investors typically determine Luna Innovations value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Luna Innovations' 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.