Etsy Stock Volatility

ETSY -  USA Stock  

USD 221.09  5.19  2.40%

Etsy appears to be very steady, given 3 months investment horizon. Etsy Inc secures Sharpe Ratio (or Efficiency) of 0.0928, which denotes the company had 0.0928% of return per unit of risk over the last 3 months. Our standpoint towards predicting 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-one technical indicators for Etsy Inc, which you can use to evaluate the future volatility of the firm. Please utilize Etsy's Mean Deviation of 2.24, coefficient of variation of 873.32, and Downside Deviation of 3.43 to check if our risk estimates are consistent with your expectations.

Etsy Volatility 

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

720 Days Market Risk

Very steady

Chance of Distress

Very Small

720 Days Economic Sensitivity

Slowly supersedes the market

Etsy Market Sensitivity And Downside Risk

Etsy's beta coefficient measures the volatility of Etsy 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 Etsy stock's returns against your selected market. In other words, Etsy's beta of 0.32 provides an investor with an approximation of how much risk Etsy stock can potentially add to one of your existing portfolios.
Let's try to break down what Etsy's beta means in this case. As returns on the market increase, Etsy returns are expected to increase less than the market. However, during the bear market, the loss on holding Etsy will be expected to be smaller as well.
3 Months Beta |Analyze Etsy Inc Demand Trend
Check current 90 days Etsy correlation with market (DOW)

Etsy Beta

    
  0.32  
Etsy 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

    
  2.9  
It is essential to understand the difference between upside risk (as represented by Etsy's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Etsy stock's daily returns or price. Since the actual investment returns on holding a position in Etsy 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 Etsy.

Etsy Implied Volatility

    
  39.17  
Etsy's implied volatility exposes the market's sentiment of Etsy Inc stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if Etsy'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 Etsy stock will not fluctuate a lot when Etsy's options near their expiration.

Etsy Inc Stock Volatility Analysis

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The output start index for this execution was zero with a total number of output elements of sixty-one. The Median Price line plots median indexes of Etsy Inc price series. View also all equity analysis or get more info about median price price transform indicator.

Etsy Projected Return Density Against Market

Given the investment horizon of 90 days Etsy has a beta of 0.3153 suggesting as returns on the market go up, Etsy average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Etsy Inc 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 Etsy 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 Etsy 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 Etsy 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 0.3237, implying that it can generate a 0.32 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

Etsy 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 Etsy 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 Etsy 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 Etsy 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 Etsy is 1077.49. The daily returns are distributed with a variance of 8.42 and standard deviation of 2.9. The mean deviation of Etsy Inc is currently at 2.19. For similar time horizon, the selected benchmark (DOW) has volatility of 0.79
α
Alpha over DOW
0.32
β
Beta against DOW0.32
σ
Overall volatility
2.90
Ir
Information ratio 0.11

Etsy Stock Return Volatility

Etsy historical daily return volatility represents how much Etsy 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 2.9025% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 0.7351% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Etsy Volatility

Volatility is a rate at which the price of Etsy 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 Etsy may increase or decrease. In other words, similar to Etsy's beta indicator, it measures the risk of Etsy and helps estimate the fluctuations that may happen in a short period of time. So if prices of Etsy 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 2021
Market Capitalization22.4 B24.2 B
Etsy, Inc. operates two-sided online marketplaces that connect buyers and sellers primarily in the United States, the United Kingdom, Germany, Canada, Australia, France, and India. Etsy, Inc. was founded in 2005 and is headquartered in Brooklyn, New York. Etsy operates under Internet Retail classification in the United States and is traded on NASDAQ Exchange. It employs 1598 people.

Nearest Etsy long CALL Option Payoff at Expiration

Etsy's implied volatility is one of the determining factors in the pricing options written on Etsy Inc. Implied volatility approximates the future value of Etsyusing the option's current value. Options with high implied volatility have higher premiums and can be used to hedge the downside of investing in Etsy Inc over a specific time period.
View All Etsy options
2021-10-22 CALL at $110.0 is a CALL option contract on Etsy's common stock with a strick price of 110.0 expiring on 2021-10-22. The contract was not traded in recent days and, as of today, has 4 days remaining before the expiration. The option is currently trading at a bid price of $109.4, and an ask price of $113.15. The implied volatility as of the 17th of October 2021 is 220.9917.
 Profit 
Share
      Etsy Price At Expiration 

Etsy Investment Opportunity

Etsy Inc has a volatility of 2.9 and is 3.92 times more volatile than DOW. 24  of all equities and portfolios are less risky than Etsy. Compared to the overall equity markets, volatility of historical daily returns of Etsy Inc is lower than 24 () of all global equities and portfolios over the last 90 days. Use Etsy Inc to enhance returns of your portfolios. The stock experiences an unexpected upward trend. Watch out for market signals. Check odds of Etsy to be traded at $265.31 in 90 days. . Let's try to break down what Etsy's beta means in this case. As returns on the market increase, Etsy returns are expected to increase less than the market. However, during the bear market, the loss on holding Etsy will be expected to be smaller as well.

Significant diversification

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

Etsy Additional Risk Indicators

The analysis of Etsy'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 Etsy's investment and either accepting that risk or mitigating it. Along with some common measures of Etsy 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 Performance0.0976
Market Risk Adjusted Performance1.04
Mean Deviation2.24
Semi Deviation3.13
Downside Deviation3.43
Coefficient Of Variation873.32
Standard Deviation2.93
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.

Etsy 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 Etsy 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. Etsy'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, Etsy'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 Etsy Inc.
Continue to Investing Opportunities. Note that the Etsy Inc information on this page should be used as a complementary analysis to other Etsy'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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When running Etsy Inc price analysis, check to measure Etsy's 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 Etsy is operating at the current time. Most of Etsy's value examination focuses on studying past and present price action to predict the probability of Etsy's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Etsy's price. Additionally, you may evaluate how the addition of Etsy to your portfolios can decrease your overall portfolio volatility.
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The market value of Etsy Inc is measured differently than its book value, which is the value of Etsy that is recorded on the company's balance sheet. Investors also form their own opinion of Etsy's value that differs from its market value or its book value, called intrinsic value, which is Etsy'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 Etsy's market value can be influenced by many factors that don't directly affect Etsy Inc underlying business (such as pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between Etsy's value and its price as these two are different measures arrived at by different means. Investors typically determine Etsy value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Etsy'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.