Moderna Stock Volatility

MRNA -  USA Stock  

USD 132.06  5.56  4.04%

We consider Moderna very steady. Moderna has Sharpe Ratio of 0.0159, which conveys that the firm had 0.0159% of return per unit of risk over the last 3 months. Our standpoint towards estimating 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 Moderna, which you can use to evaluate the future volatility of the firm. Please verify Moderna Risk Adjusted Performance of 0.015, downside deviation of 4.03, and Mean Deviation of 3.94 to check out if the risk estimate we provide is consistent with the expected return of 0.0806%.
  
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Moderna 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 Moderna daily returns, and it is calculated using variance and standard deviation. We also use Moderna's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Moderna volatility.

390 Days Market Risk

Very steady

Chance of Distress

Below Average

390 Days Economic Sensitivity

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

Moving together with Moderna

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0.85AVXLAnavex Lf SC Fiscal Year End 23rd of November 2022 PairCorr
0.82AXLAAxcella HealthPairCorr
0.81BBIOBridgebio PharmaPairCorr
0.81ALDXAldeyra TherapeuPairCorr
0.8BNTXBiontech Se ADR Potential GrowthPairCorr

Moving against Moderna

-0.52ARYXAryx TherapeuticsPairCorr

Moderna Market Sensitivity And Downside Risk

Moderna's beta coefficient measures the volatility of Moderna 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 Moderna stock's returns against your selected market. In other words, Moderna's beta of 1.83 provides an investor with an approximation of how much risk Moderna stock can potentially add to one of your existing portfolios.
Let's try to break down what Moderna'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, Moderna will likely underperform.
3 Months Beta |Analyze Moderna Demand Trend
Check current 90 days Moderna correlation with market (DOW)

Moderna Beta

    
  1.83  
Moderna 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

    
  5.07  
It is essential to understand the difference between upside risk (as represented by Moderna's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Moderna stock's daily returns or price. Since the actual investment returns on holding a position in Moderna 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 Moderna.

Moderna Implied Volatility

    
  85.74  
Moderna's implied volatility exposes the market's sentiment of Moderna stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if Moderna'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 Moderna stock will not fluctuate a lot when Moderna's options are near their expiration.

Moderna Stock Volatility Analysis

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

Historical Volatility

This type of stock volatility measures Moderna's fluctuations based on previous trends. It's commonly used to predict Moderna'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 Moderna'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. Developed by Larry Williams, the Weighted Close is the average of Moderna high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only Moderna closing price as input.
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Moderna Projected Return Density Against Market

Given the investment horizon of 90 days the stock has the beta coefficient of 1.8289 . This indicates as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are projected to be negative, Moderna 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 Moderna or Healthcare 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 Moderna 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 Moderna 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 0.2236, implying that it can generate a 0.22 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Moderna's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how Moderna 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.

Moderna 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 Moderna or Healthcare 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 Moderna 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 Moderna 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 Moderna is 6290.62. The daily returns are distributed with a variance of 25.71 and standard deviation of 5.07. The mean deviation of Moderna is currently at 4.02. For similar time horizon, the selected benchmark (DOW) has volatility of 1.36
α
Alpha over DOW
0.22
β
Beta against DOW1.83
σ
Overall volatility
5.07
Ir
Information ratio 0.026

Moderna Stock Return Volatility

Moderna historical daily return volatility represents how much Moderna 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 5.0704% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 1.376% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Moderna Volatility

Volatility is a rate at which the price of Moderna 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 Moderna may increase or decrease. In other words, similar to Moderna's beta indicator, it measures the risk of Moderna and helps estimate the fluctuations that may happen in a short period of time. So if prices of Moderna 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 Capitalization103 B111.1 B
Moderna, Inc., a biotechnology company, develops therapeutics and vaccines based on messenger RNA for the treatment of infectious diseases, immuno-oncology, rare diseases, cardiovascular diseases, and auto-immune diseases in the United States and internationally. Moderna, Inc. was founded in 2010 and is headquartered in Cambridge, Massachusetts. Moderna operates under Biotechnology classification in the United States and is traded on NASDAQ Exchange. It employs 2700 people.

Nearest Moderna long CALL Option Payoff at Expiration

Moderna's implied volatility is one of the determining factors in the pricing options written on Moderna. Implied volatility approximates the future value of Modernausing the option's current value. Options with high implied volatility have higher premiums and can be used to hedge the downside of investing in Moderna over a specific time period.
View All Moderna options
2022-05-27 CALL at $80.0 is a CALL option contract on Moderna's common stock with a strick price of 80.0 expiring on 2022-05-27. The contract was not traded in recent days and, as of today, has 3 days remaining before the expiration. The option is currently trading at a bid price of $56.3, and an ask price of $58.7. The implied volatility as of the 24th of May is 344.0655.
 Profit 
Share
      Moderna Price At Expiration 

Moderna Investment Opportunity

Moderna has a volatility of 5.07 and is 3.67 times more volatile than DOW. 43  of all equities and portfolios are less risky than Moderna. Compared to the overall equity markets, volatility of historical daily returns of Moderna is lower than 43 () of all global equities and portfolios over the last 90 days. Use Moderna to protect your portfolios against small market fluctuations. The stock experiences a very speculative upward sentiment. Check odds of Moderna to be traded at $125.46 in 90 days. . Let's try to break down what Moderna'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, Moderna will likely underperform.

Very weak diversification

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

Moderna Additional Risk Indicators

The analysis of Moderna'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 Moderna's investment and either accepting that risk or mitigating it. Along with some common measures of Moderna 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 Performance0.015
Market Risk Adjusted Performance0.02
Mean Deviation3.94
Semi Deviation3.98
Downside Deviation4.03
Coefficient Of Variation17724.89
Standard Deviation5.03
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.

Moderna 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 Moderna 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. Moderna'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, Moderna'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 Moderna.
Additionally, see Stocks Correlation. Note that the Moderna information on this page should be used as a complementary analysis to other Moderna'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 Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.

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