Big Lots Stock Volatility

BIG -  USA Stock  

USD 27.54  1.77  6.04%

Big Lots secures Sharpe Ratio (or Efficiency) of -0.0561, which signifies that the company had -0.0561% of return per unit of standard deviation over the last 3 months. Macroaxis philosophy in foreseeing 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. Big Lots exposes twenty-one different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Big Lots risk adjusted performance of (0.09), and Mean Deviation of 3.39 to double-check the risk estimate we provide.
  
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Big Lots 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 Big Lots daily returns, and it is calculated using variance and standard deviation. We also use Big Lots's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Big Lots volatility.

30 Days Market Risk

Not too volatile

Chance of Distress

30 Days Economic Sensitivity

Actively responds to the market
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Big Lots 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 Big Lots at lower prices. For example, an investor can purchase Big Lots 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 Big Lots' 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.

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Big Lots Market Sensitivity And Downside Risk

Big Lots' beta coefficient measures the volatility of Big Lots 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 Big Lots stock's returns against your selected market. In other words, Big Lots's beta of 1.96 provides an investor with an approximation of how much risk Big Lots stock can potentially add to one of your existing portfolios.
Let's try to break down what Big Lots'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, Big Lots will likely underperform.
3 Months Beta |Analyze Big Lots Demand Trend
Check current 90 days Big Lots correlation with market (DOW)

Big Lots Beta

    
  1.96  
Big Lots 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

    
  4.6  
It is essential to understand the difference between upside risk (as represented by Big Lots's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Big Lots stock's daily returns or price. Since the actual investment returns on holding a position in Big Lots 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 Big Lots.

Big Lots Implied Volatility

    
  99.4  
Big Lots' implied volatility exposes the market's sentiment of Big Lots stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if Big Lots' implied volatility is high, the market thinks the stock has potential for high price swings in either direction. On the other hand, the low implied volatility suggests that Big Lots stock will not fluctuate a lot when Big Lots' options are near their expiration.

Big Lots Stock Volatility Analysis

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

Historical Volatility

This type of stock volatility measures Big Lots' fluctuations based on previous trends. It's commonly used to predict Big Lots' 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 Big Lots' current market price. This means that the stock will return to its initially predicted market price.
Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Big Lots Typical Price indicator is an average of each day price and can be used instead of closing price when creating different Big Lots moving average lines.
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Big Lots Projected Return Density Against Market

Considering the 90-day investment horizon the stock has the beta coefficient of 1.9627 suggesting as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are projected to be negative, Big Lots 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 Big Lots or Consumer Defensive 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 Big Lots 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 Big Lots 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. Big Lots is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Big Lots' volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how Big Lots 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 Company's Stock Price Volatility?

Several factors can influence a company'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.

Big Lots 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 Big Lots or Consumer Defensive 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 Big Lots 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 Big Lots 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 Big Lots is -1782.02. The daily returns are distributed with a variance of 21.2 and standard deviation of 4.6. The mean deviation of Big Lots is currently at 3.4. For similar time horizon, the selected benchmark (DOW) has volatility of 1.35
α
Alpha over DOW
-0.0086
β
Beta against DOW1.96
σ
Overall volatility
4.60
Ir
Information ratio -0.04

Big Lots Stock Return Volatility

Big Lots historical daily return volatility represents how much Big Lots stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The firm has volatility of 4.6046% on return distribution over 90 days investment horizon. By contrast, DOW inherits 1.3408% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Big Lots Volatility

Volatility is a rate at which the price of Big Lots 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 Big Lots may increase or decrease. In other words, similar to Big Lots's beta indicator, it measures the risk of Big Lots and helps estimate the fluctuations that may happen in a short period of time. So if prices of Big Lots 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 Capitalization1.2 B1.9 B
Big Lots, Inc., through its subsidiaries, operates as a home discount retailer in the United States. Big Lots, Inc. was founded in 1967 and is headquartered in Columbus, Ohio. Big Lots operates under Discount Stores classification in the United States and is traded on New York Stock Exchange. It employs 10500 people.

Nearest Big Lots long CALL Option Payoff at Expiration

Big Lots' implied volatility is one of the determining factors in the pricing options written on Big Lots. Implied volatility approximates the future value of Big Lotsusing the option's current value. Options with high implied volatility have higher premiums and can be used to hedge the downside of investing in Big Lots over a specific time period.
View All Big Lots options
2022-06-17 CALL at $15.0 is a CALL option contract on Big Lots' common stock with a strick price of 15.0 expiring on 2022-06-17. The contract was not traded in recent days and, as of today, has 25 days remaining before the expiration. The option is currently trading at a bid price of $11.5, and an ask price of $14.4. The implied volatility as of the 23rd of May is 172.9047.
 Profit 
Share
      Big Lots Price At Expiration 

Big Lots Investment Opportunity

Big Lots has a volatility of 4.6 and is 3.43 times more volatile than DOW. 39  of all equities and portfolios are less risky than Big Lots. Compared to the overall equity markets, volatility of historical daily returns of Big Lots is lower than 39 () of all global equities and portfolios over the last 90 days. Use Big Lots to protect your portfolios against small market fluctuations. The stock experiences a very speculative upward sentiment. Check odds of Big Lots to be traded at $26.16 in 90 days. . Let's try to break down what Big Lots'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, Big Lots will likely underperform.

Very weak diversification

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

Big Lots Additional Risk Indicators

The analysis of Big Lots' 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 Big Lots' investment and either accepting that risk or mitigating it. Along with some common measures of Big Lots 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 Performance(0.09)
Market Risk Adjusted Performance(0.16)
Mean Deviation3.39
Coefficient Of Variation(1,381)
Standard Deviation4.57
Variance20.87
Information Ratio(0.037541)
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.

Big Lots 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 Big Lots 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. Big Lots' 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, Big Lots' 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 Big Lots.
Continue to Trending Equities. Note that the Big Lots information on this page should be used as a complementary analysis to other Big Lots' 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 Technical Analysis module to check basic technical indicators and analysis based on most latest market data.

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