Chewy Stock Volatility

CHWY -  USA Stock  

USD 44.86  1.23  2.67%

Chewy Inc secures Sharpe Ratio (or Efficiency) of -0.15, which signifies that the company had -0.15% of return per unit of standard deviation over the last 4 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. Chewy Inc exposes twenty-eight different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Chewy Inc risk adjusted performance of (0.11), and Mean Deviation of 2.64 to double-check the risk estimate we provide.

Chewy Volatility 

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

480 Days Market Risk

Very steady

Chance of Distress

Very Low

480 Days Economic Sensitivity

Almost neglects market trends
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Chewy 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 Chewy at lower prices. For example, an investor can purchase Chewy 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 Chewy'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.

Chewy Market Sensitivity And Downside Risk

Chewy's beta coefficient measures the volatility of Chewy 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 Chewy stock's returns against your selected market. In other words, Chewy's beta of -0.11 provides an investor with an approximation of how much risk Chewy stock can potentially add to one of your existing portfolios.
Let's try to break down what Chewy's beta means in this case. As returns on the market increase, returns on owning Chewy are expected to decrease at a much lower rate. During the bear market, Chewy is likely to outperform the market.
4 Months Beta |Analyze Chewy Inc Demand Trend
Check current 90 days Chewy correlation with market (DOW)

Chewy Beta

    
  -0.11  
Chewy 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

    
  3.58  
It is essential to understand the difference between upside risk (as represented by Chewy's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Chewy stock's daily returns or price. Since the actual investment returns on holding a position in Chewy 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 Chewy.

Chewy Implied Volatility

    
  73.14  
Chewy's implied volatility exposes the market's sentiment of Chewy Inc stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if Chewy'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 Chewy stock will not fluctuate a lot when Chewy's options are near their expiration.

Chewy Inc Stock Volatility Analysis

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

Historical Volatility

This type of stock volatility measures Chewy's fluctuations based on previous trends. It's commonly used to predict Chewy'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 Chewy'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 eighty-three. Chewy Inc 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.

Chewy Projected Return Density Against Market

Given the investment horizon of 90 days Chewy Inc has a beta of -0.1064 suggesting as returns on benchmark increase, returns on holding Chewy are expected to decrease at a much lower rate. During the bear market, however, Chewy Inc is likely to outperform the market.
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 Chewy or Consumer Cyclical 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 Chewy 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 Chewy 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. Chewy Inc is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Chewy's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how Chewy 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.

Chewy 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 Chewy or Consumer Cyclical 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 Chewy 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 Chewy 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 Chewy is -651.72. The daily returns are distributed with a variance of 12.8 and standard deviation of 3.58. The mean deviation of Chewy Inc is currently at 2.65. For similar time horizon, the selected benchmark (DOW) has volatility of 0.84
α
Alpha over DOW
-0.51
β
Beta against DOW-0.11
σ
Overall volatility
3.58
Ir
Information ratio -0.15

Chewy Stock Return Volatility

Chewy historical daily return volatility represents how much Chewy 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 3.5782% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 0.8206% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Chewy Volatility

Volatility is a rate at which the price of Chewy 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 Chewy may increase or decrease. In other words, similar to Chewy's beta indicator, it measures the risk of Chewy and helps estimate the fluctuations that may happen in a short period of time. So if prices of Chewy 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 Capitalization48.3 B40.7 B
Chewy, Inc., together with its subsidiaries, engages in the pure play e-commerce business in the United States. The company was founded in 2010 and is headquartered in Dania Beach, Florida. Chewy operates under Internet Retail classification in the United States and is traded on New York Stock Exchange. It employs 18500 people.

Nearest Chewy long CALL Option Payoff at Expiration

Chewy's implied volatility is one of the determining factors in the pricing options written on Chewy Inc. Implied volatility approximates the future value of Chewyusing the option's current value. Options with high implied volatility have higher premiums and can be used to hedge the downside of investing in Chewy Inc over a specific time period.
View All Chewy options
2022-01-21 CALL at $13.0 is a CALL option contract on Chewy's common stock with a strick price of 13.0 expiring on 2022-01-21. The contract was last traded on 2021-12-09 at 12:51:05 for $44.34 and, as of today, has 5 days remaining before the expiration. The option is currently trading at a bid price of $31.35, and an ask price of $33.7. The implied volatility as of the 16th of January 2022 is 623.886.
 Profit 
Share
      Chewy Price At Expiration 

Chewy Investment Opportunity

Chewy Inc has a volatility of 3.58 and is 4.37 times more volatile than DOW. 30  of all equities and portfolios are less risky than Chewy. Compared to the overall equity markets, volatility of historical daily returns of Chewy Inc is lower than 30 () of all global equities and portfolios over the last 90 days. Use Chewy Inc 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 Chewy to be traded at $43.07 in 90 days. . Let's try to break down what Chewy's beta means in this case. As returns on the market increase, returns on owning Chewy are expected to decrease at a much lower rate. During the bear market, Chewy is likely to outperform the market.

Good diversification

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

Chewy Additional Risk Indicators

The analysis of Chewy'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 Chewy's investment and either accepting that risk or mitigating it. Along with some common measures of Chewy 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(0.11)
Market Risk Adjusted Performance4.8
Mean Deviation2.64
Coefficient Of Variation(709.03)
Standard Deviation3.54
Variance12.54
Information Ratio(0.15)
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.

Chewy 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 Chewy 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. Chewy'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, Chewy'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 Chewy Inc.
Continue to Trending Equities. Note that the Chewy Inc information on this page should be used as a complementary analysis to other Chewy'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 Bond Directory module to find actively traded corporate debentures issued by US companies.

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