Novan Stock Volatility

NOVN
 Stock
  

USD 0.82  0.03  3.53%   

Novan Inc has Sharpe Ratio of -0.32, which conveys that the firm had -0.32% of return per unit of risk over the last 3 months. Macroaxis standpoint towards estimating 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. Novan exposes twenty-one different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Novan Inc risk adjusted performance of (0.45), and Mean Deviation of 3.48 to check out the risk estimate we provide.
  
Novan 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 Novan daily returns, and it is calculated using variance and standard deviation. We also use Novan's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Novan volatility.

30 Days Market Risk

Slightly risky

Chance of Distress

Significantly High

30 Days Economic Sensitivity

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

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-0.77VRTXVertex PharmaceuticPairCorr
-0.77REGNRegeneron PharmaceuticalsPairCorr
-0.75FMCBFarmers Merch BcpPairCorr
-0.58GEOGeo Group Normal TradingPairCorr

Novan Market Sensitivity And Downside Risk

Novan's beta coefficient measures the volatility of Novan 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 Novan stock's returns against your selected market. In other words, Novan's beta of 0.77 provides an investor with an approximation of how much risk Novan stock can potentially add to one of your existing portfolios.
Novan Inc exhibits very low volatility with skewness of -1.74 and kurtosis of 6.33. However, we advise investors to further study Novan Inc technical indicators to ensure that all market info is available and is reliable. Novan Inc is a potential penny stock. Although Novan may be in fact a good instrument to invest, many penny stocks are speculative in nature and are subject to artificial price hype. Please make sure you totally understand the upside potential and downside risk of investing in Novan Inc. We encourage investors to look for signals such as email spams, message board hypes, claims of breakthroughs, volume upswings, sudden news releases, promotions that are not reported, or demotions released before SEC filings. Please also check biographies and work history of current and past company officers before investing in high volatility instruments, penny stocks, or equities with microcap classification. You can indeed make money on Novan instrument if you perfectly time your entry and exit. However, remember that penny stocks that have been the subject of artificial hype usually unable to maintain their increased share price for more than just a few days. The price of a promoted high volatility instrument will almost always revert back. The only way to increase shareholder value is through legitimate performance backed up by solid fundamentals.
3 Months Beta |Analyze Novan Inc Demand Trend
Check current 90 days Novan correlation with market (DOW)

Novan Beta

    
  0.77  
Novan 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

    
  5.06  
It is essential to understand the difference between upside risk (as represented by Novan's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Novan's daily returns or price. Since the actual investment returns on holding a position in novan 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 Novan.

Using Novan Put Option to Manage Risk

Put options written on Novan grant holders of the option the right to sell a specified amount of Novan at a specified price within a specified time frame. The put buyer has a limited loss and, while not fully unlimited gains, as the price of Novan Stock cannot fall below zero, the put buyer does gain as the price drops. So, one way investors can hedge Novan's position is by buying a put option against it. The put option used this way is usually referred to as insurance. If an undesired outcome occurs and loss on holding Novan will be realized, the loss incurred will be offset by the profits made with the option trade.

Novan's PUT expiring on 2022-12-16

   Profit   
Share
       Novan Price At Expiration  

Novan Inc Stock Volatility Analysis

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

Historical Volatility

This type of stock volatility measures Novan's fluctuations based on previous trends. It's commonly used to predict Novan'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 Novan's current market price. This means that the stock will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Novan's to be redeemed at a future date.
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 Novan Inc 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 Novan closing price as input.
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Novan Projected Return Density Against Market

Given the investment horizon of 90 days Novan has a beta of 0.7725 . This indicates as returns on the market go up, Novan average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Novan 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 Novan 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 Novan'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 Novan 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. Novan Inc is significantly underperforming DOW.
   Predicted Return Density   
       Returns  
Novan's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how novan 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 Novan Price Volatility?

Several factors can influence a Stock'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.

Novan 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 Novan 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 Novan'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 Novan 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 Novan is -312.89. The daily returns are distributed with a variance of 25.6 and standard deviation of 5.06. The mean deviation of Novan Inc is currently at 3.59. For similar time horizon, the selected benchmark (DOW) has volatility of 1.41
α
Alpha over DOW
-1.67
β
Beta against DOW0.77
σ
Overall volatility
5.06
Ir
Information ratio -0.34

Novan Stock Return Volatility

Novan historical daily return volatility represents how much of Novan stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company inherits 5.0595% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 1.3782% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
       Timeline  

About Novan Volatility

Volatility is a rate at which the price of Novan 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 Novan may increase or decrease. In other words, similar to Novan's beta indicator, it measures the risk of Novan and helps estimate the fluctuations that may happen in a short period of time. So if prices of Novan 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 Capitalization103.5 M115.1 M

Novan Investment Opportunity

Novan Inc has a volatility of 5.06 and is 3.67 times more volatile than DOW. 43  of all equities and portfolios are less risky than Novan. Compared to the overall equity markets, volatility of historical daily returns of Novan Inc is lower than 43 () of all global equities and portfolios over the last 90 days. Use Novan Inc to protect your portfolios against small market fluctuations. Benchmarks are essential to demonstrate the utility of optimization algorithms. The stock experiences an unexpected downward movement. The market is reacting to new fundamentals. Check odds of Novan to be traded at $0.7872 in 90 days.

Modest diversification

The correlation between Novan Inc and DJI is 0.22 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Novan Inc and DJI in the same portfolio, assuming nothing else is changed.

Novan Additional Risk Indicators

The analysis of Novan'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 Novan's investment and either accepting that risk or mitigating it. Along with some common measures of Novan stock's 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.
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stocks, we recommend comparing similar stocks with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

Novan 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.
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 Novan 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. Novan'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, Novan'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 Novan Inc.
Additionally, see Correlation Analysis. You can also try Price Transformation module to use Price Transformation models to analyze depth of different equity instruments across global markets.

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When running Novan Inc price analysis, check to measure Novan'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 Novan is operating at the current time. Most of Novan's value examination focuses on studying past and present price action to predict the probability of Novan's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Novan's price. Additionally, you may evaluate how the addition of Novan to your portfolios can decrease your overall portfolio volatility.
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Is Novan'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 Novan. If investors know Novan 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 Novan listed above have to be considered, but the key to understanding future value is determining which factors weigh more heavily than others.
Quarterly Earnings Growth YOY
(0.61) 
Market Capitalization
20.2 M
Quarterly Revenue Growth YOY
5.94
Return On Assets
(0.32) 
Return On Equity
(2.22) 
The market value of Novan Inc is measured differently than its book value, which is the value of Novan that is recorded on the company's balance sheet. Investors also form their own opinion of Novan's value that differs from its market value or its book value, called intrinsic value, which is Novan'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 Novan's market value can be influenced by many factors that don't directly affect Novan'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 Novan's value and its price as these two are different measures arrived at by different means. Investors typically determine Novan value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Novan'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.