Citigroup Stock Volatility

C -  USA Stock  

USD 49.32  1.73  3.39%

Citigroup secures Sharpe Ratio (or Efficiency) of -0.18, which signifies that the company had -0.18% of return per unit of risk over the last 3 months. Macroaxis standpoint towards 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. Citigroup exposes twenty-seven different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Citigroup mean deviation of 1.62, and Risk Adjusted Performance of (0.23) to double-check the risk estimate we provide.
  
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Citigroup 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 Citigroup daily returns, and it is calculated using variance and standard deviation. We also use Citigroup's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Citigroup volatility.

720 Days Market Risk

Very steady

Chance of Distress

Average

720 Days Economic Sensitivity

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

Citigroup Market Sensitivity And Downside Risk

Citigroup's beta coefficient measures the volatility of Citigroup 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 Citigroup stock's returns against your selected market. In other words, Citigroup's beta of 1.09 provides an investor with an approximation of how much risk Citigroup stock can potentially add to one of your existing portfolios.
Let's try to break down what Citigroup's beta means in this case. Citigroup returns are very sensitive to returns on the market. As the market goes up or down, Citigroup is expected to follow.
3 Months Beta |Analyze Citigroup Demand Trend
Check current 90 days Citigroup correlation with market (DOW)

Citigroup Beta

    
  1.09  
Citigroup 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

    
  2.14  
It is essential to understand the difference between upside risk (as represented by Citigroup's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Citigroup stock's daily returns or price. Since the actual investment returns on holding a position in Citigroup 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 Citigroup.

Citigroup Implied Volatility

    
  54.86  
Citigroup's implied volatility exposes the market's sentiment of Citigroup stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if Citigroup's 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 Citigroup stock will not fluctuate a lot when Citigroup's options are near their expiration.

Citigroup Stock Volatility Analysis

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

Historical Volatility

This type of stock volatility measures Citigroup's fluctuations based on previous trends. It's commonly used to predict Citigroup's 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 Citigroup's 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. Citigroup 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.
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Citigroup Projected Return Density Against Market

Taking into account the 90-day investment horizon the stock has the beta coefficient of 1.0896 suggesting Citigroup market returns are sensitive to returns on the market. As the market goes up or down, Citigroup 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 Citigroup or Financial 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 Citigroup 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 Citigroup 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. Citigroup is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Citigroup's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how Citigroup 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.

Citigroup 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 Citigroup or Financial 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 Citigroup 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 Citigroup 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.
Taking into account the 90-day investment horizon the coefficient of variation of Citigroup is -545.99. The daily returns are distributed with a variance of 4.57 and standard deviation of 2.14. The mean deviation of Citigroup is currently at 1.66. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
α
Alpha over DOW
-0.28
β
Beta against DOW1.09
σ
Overall volatility
2.14
Ir
Information ratio -0.14

Citigroup Stock Return Volatility

Citigroup historical daily return volatility represents how much Citigroup stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The company accepts 2.1382% volatility on return distribution over the 90 days horizon. By contrast, DOW inherits 1.3609% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Citigroup Volatility

Volatility is a rate at which the price of Citigroup 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 Citigroup may increase or decrease. In other words, similar to Citigroup's beta indicator, it measures the risk of Citigroup and helps estimate the fluctuations that may happen in a short period of time. So if prices of Citigroup 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 Capitalization119.8 B146.5 B
Citigroup Inc., a diversified financial services holding company, provides various financial products and services to consumers, corporations, governments, and institutions in North America, Latin America, Asia, Europe, the Middle East, and Africa. Citigroup Inc. was founded in 1812 and is headquartered in New York, New York. Citigroup operates under BanksDiversified classification in the United States and is traded on New York Stock Exchange. It employs 223000 people.

Nearest Citigroup long CALL Option Payoff at Expiration

Citigroup's implied volatility is one of the determining factors in the pricing options written on Citigroup. Implied volatility approximates the future value of Citigroupusing the option's current value. Options with high implied volatility have higher premiums and can be used to hedge the downside of investing in Citigroup over a specific time period.
View All Citigroup options
2022-05-20 CALL at $25.0 is a CALL option contract on Citigroup's common stock with a strick price of 25.0 expiring on 2022-05-20. The contract was not traded in recent days and, as of today, has 2 days remaining before the expiration. The option is currently trading at a bid price of $22.3, and an ask price of $22.65. The implied volatility as of the 18th of May 2022 is 254.9115.
 Profit 
Share
      Citigroup Price At Expiration 

Citigroup Investment Opportunity

Citigroup has a volatility of 2.14 and is 1.57 times more volatile than DOW. 18  of all equities and portfolios are less risky than Citigroup. Compared to the overall equity markets, volatility of historical daily returns of Citigroup is lower than 18 () of all global equities and portfolios over the last 90 days. Use Citigroup to protect your portfolios against small market fluctuations. The stock experiences an unexpected downward movement. The market is reacting to new fundamentals. Check odds of Citigroup to be traded at $47.35 in 90 days. . Let's try to break down what Citigroup's beta means in this case. Citigroup returns are very sensitive to returns on the market. As the market goes up or down, Citigroup is expected to follow.

Poor diversification

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

Citigroup Additional Risk Indicators

The analysis of Citigroup'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 Citigroup's investment and either accepting that risk or mitigating it. Along with some common measures of Citigroup 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(0.23)
Market Risk Adjusted Performance(0.35)
Mean Deviation1.62
Coefficient Of Variation(554.64)
Standard Deviation2.09
Variance4.39
Information Ratio(0.14)
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.

Citigroup 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 Citigroup 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. Citigroup'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, Citigroup'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 Citigroup.
Continue to Trending Equities. Note that the Citigroup information on this page should be used as a complementary analysis to other Citigroup'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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.

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Is Citigroup's 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 Citigroup. If investors know Citigroup 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 Citigroup 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 Citigroup is measured differently than its book value, which is the value of Citigroup that is recorded on the company's balance sheet. Investors also form their own opinion of Citigroup's value that differs from its market value or its book value, called intrinsic value, which is Citigroup'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 Citigroup's market value can be influenced by many factors that don't directly affect Citigroup's 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 Citigroup's value and its price as these two are different measures arrived at by different means. Investors typically determine Citigroup value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Citigroup'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.