Imedia Stock Volatility

IMBI -  USA Stock  

USD 6.10  0.10  1.67%

We consider Imedia Brands somewhat reliable. Imedia Brands holds Efficiency (Sharpe) Ratio of 0.0189, which attests that the entity had 0.0189% of return per unit of risk over the last 14 months. Our standpoint towards determining 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 Imedia Brands, which you can use to evaluate the future volatility of the firm. Please check out Imedia Brands Risk Adjusted Performance of 0.0521, downside deviation of 4.62, and Market Risk Adjusted Performance of 0.2326 to validate if the risk estimate we provide is consistent with the expected return of 0.0897%.

Imedia Volatility 

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

30 Days Market Risk

Somewhat reliable

Chance of Distress

Below Average

30 Days Economic Sensitivity

Responds to the market

Imedia Brands Market Sensitivity And Downside Risk

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

Imedia Beta

    
  1.09  
Imedia 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

    
  4.74  
It is essential to understand the difference between upside risk (as represented by Imedia Brands's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Imedia Brands stock's daily returns or price. Since the actual investment returns on holding a position in Imedia Brands 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 Imedia Brands.

Imedia Brands Implied Volatility

    
  234.84  
Imedia Brands' implied volatility exposes the market's sentiment of Imedia Brands stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if Imedia Brands' 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 Imedia Brands stock will not fluctuate a lot when Imedia Brands' options near their expiration.

Imedia Brands Stock Volatility Analysis

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The output start index for this execution was zero with a total number of output elements of three hundred three. Imedia Brands Typical Price indicator is an average of each day price and can be used instead of closing price when creating different Imedia Brands moving average lines. View also all equity analysis or get more info about typical price price transform indicator.

Imedia Brands Projected Return Density Against Market

Given the investment horizon of 90 days the stock has the beta coefficient of 1.0941 . This usually indicates Imedia Brands market returns are reactive to returns on the market. As the market goes up or down, Imedia Brands 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 Imedia Brands 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 Imedia Brands 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 Imedia 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 0.1459, implying that it can generate a 0.15 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

Imedia Brands 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 Imedia Brands 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 Imedia Brands 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 Imedia 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 Imedia Brands is 5277.15. The daily returns are distributed with a variance of 22.43 and standard deviation of 4.74. The mean deviation of Imedia Brands is currently at 3.44. For similar time horizon, the selected benchmark (DOW) has volatility of 0.88
α
Alpha over DOW
0.15
β
Beta against DOW1.09
σ
Overall volatility
4.74
Ir
Information ratio 0.0305

Imedia Brands Stock Return Volatility

Imedia Brands historical daily return volatility represents how much Imedia Brands 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 4.7355% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 0.8847% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Imedia Brands Volatility

Volatility is a rate at which the price of Imedia Brands 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 Imedia Brands may increase or decrease. In other words, similar to Imedia's beta indicator, it measures the risk of Imedia Brands and helps estimate the fluctuations that may happen in a short period of time. So if prices of Imedia Brands 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 Capitalization75 M225.4 M
iMedia Brands, Inc. operates as a multiplatform interactive video and digital commerce company in the United States. The company was formerly known as EVINE Live Inc. and changed its name to iMedia Brands, Inc. in July 2019. iMedia Brands, Inc. was incorporated in 1990 and is headquartered in Eden Prairie, Minnesota. Imedia Brands operates under Internet Retail classification in the United States and is traded on NASDAQ Exchange. It employs 645 people.

Nearest Imedia long CALL Option Payoff at Expiration

Imedia Brands' implied volatility is one of the determining factors in the pricing options written on Imedia Brands. Implied volatility approximates the future value of Imedia Brandsusing the option's current value. Options with high implied volatility have higher premiums and can be used to hedge the downside of investing in Imedia Brands over a specific time period.
View All Imedia options
2021-11-19 CALL at $2.5 is a CALL option contract on Imedia Brands' common stock with a strick price of 2.5 expiring on 2021-11-19. The contract was not traded in recent days and, as of today, has 30 days remaining before the expiration. The option is currently trading at a bid price of $3.2, and an ask price of $4.0. The implied volatility as of the 20th of October is 223.0276.
 Profit 
Share
      Imedia Brands Price At Expiration 

Imedia Brands Investment Opportunity

Imedia Brands has a volatility of 4.74 and is 5.39 times more volatile than DOW. 40  of all equities and portfolios are less risky than Imedia Brands. Compared to the overall equity markets, volatility of historical daily returns of Imedia Brands is lower than 40 () of all global equities and portfolios over the last 90 days. Use Imedia Brands to enhance returns of your portfolios. The stock experiences a large bullish trend. Check odds of Imedia Brands to be traded at $6.71 in 90 days. . Let's try to break down what Imedia's beta means in this case. Imedia Brands returns are very sensitive to returns on the market. As the market goes up or down, Imedia Brands is expected to follow.

Average diversification

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

Imedia Brands Additional Risk Indicators

The analysis of Imedia Brands' 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 Imedia Brands' investment and either accepting that risk or mitigating it. Along with some common measures of Imedia Brands 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 Performance0.0521
Market Risk Adjusted Performance0.2326
Mean Deviation3.65
Semi Deviation4.4
Downside Deviation4.62
Coefficient Of Variation1995.36
Standard Deviation5.06
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.

Imedia Brands 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 Imedia Brands 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. Imedia Brands' 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, Imedia Brands' 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 Imedia Brands.
Please see Risk vs Return Analysis. Note that the Imedia Brands information on this page should be used as a complementary analysis to other Imedia Brands' 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 CEO Directory module to screen CEOs from public companies around the world.

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