Nxp Semiconductors Stock Volatility


USD 151.75  7.24  4.55%   

We consider Nxp Semiconductors very steady. Nxp Semiconductors has Sharpe Ratio of 0.0435, which conveys that the firm had 0.0435% 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 Nxp Semiconductors, which you can use to evaluate the future volatility of the firm. Please verify Nxp Semiconductors Mean Deviation of 1.96, downside deviation of 2.71, and Risk Adjusted Performance of 0.0877 to check out if the risk estimate we provide is consistent with the expected return of 0.11%.
Nxp Semiconductors 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 Nxp Semiconductors daily returns, and it is calculated using variance and standard deviation. We also use Nxp Semiconductors's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Nxp Semiconductors volatility.

30 Days Market Risk

Very steady

Chance of Distress

Below Average

30 Days Economic Sensitivity

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

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Nxp Semiconductors Market Sensitivity And Downside Risk

Nxp Semiconductors' beta coefficient measures the volatility of Nxp Semiconductors 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 Nxp Semiconductors stock's returns against your selected market. In other words, Nxp Semiconductors's beta of 1.7 provides an investor with an approximation of how much risk Nxp Semiconductors stock can potentially add to one of your existing portfolios.
Nxp Semiconductors currently demonstrates below-average downside deviation. It has Information Ratio of 0.09 and Jensen Alpha of 0.26. However, we advise investors to further question Nxp Semiconductors expected returns to ensure all indicators are consistent with the current outlook about its relatively low value at risk. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Nxp Semiconductors' stock risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Nxp Semiconductors' stock price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different stocks as prices fall.
3 Months Beta |Analyze Nxp Semiconductors Demand Trend
Check current 90 days Nxp Semiconductors correlation with market (DOW)

Nxp Semiconductors Beta

Nxp Semiconductors 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

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

Using Nxp Semiconductors Put Option to Manage Risk

Put options written on Nxp Semiconductors grant holders of the option the right to sell a specified amount of Nxp Semiconductors 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 Nxp Semiconductors Stock cannot fall below zero, the put buyer does gain as the price drops. So, one way investors can hedge Nxp Semiconductors' 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 Nxp Semiconductors will be realized, the loss incurred will be offset by the profits made with the option trade.

Nxp Semiconductors' PUT expiring on 2022-10-07

       Nxp Semiconductors Price At Expiration  

Current Nxp Semiconductors Insurance Chain

DeltaGammaOpen IntExpirationCurrent SpreadLast Price
2022-10-07 PUT at $182.5-0.88620.012112022-10-0719.4 - 22.120.2View
2022-10-07 PUT at $180.0-0.86230.014132022-10-0717.0 - 19.831.16View
2022-10-07 PUT at $175.0-0.85730.0189122022-10-0711.9 - 14.626.31View
2022-10-07 PUT at $172.5-0.79910.022642022-10-079.5 - 12.620.7View
2022-10-07 PUT at $170.0-0.84560.02911252022-10-077.9 - 9.410.05View
2022-10-07 PUT at $165.0-0.74930.059142022-10-074.2 - 4.912.45View
2022-10-07 PUT at $162.5-0.57960.0683152022-10-072.75 - 3.22.6View
2022-10-07 PUT at $160.0-0.40740.0673352022-10-071.55 - 1.92.35View
2022-10-07 PUT at $157.5-0.25780.0538282022-10-070.8 - 1.11.25View
2022-10-07 PUT at $155.0-0.15990.0372492022-10-070.4 - 0.650.56View
2022-10-07 PUT at $152.5-0.09570.0243402022-10-070.2 - 0.350.32View
View All Nxp Semiconductors Options

Nxp Semiconductors Stock Volatility Analysis

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

Historical Volatility

This type of stock volatility measures Nxp Semiconductors' fluctuations based on previous trends. It's commonly used to predict Nxp Semiconductors' 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 Nxp Semiconductors' 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 Nxp Semiconductors' to be redeemed at a future date.
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 Nxp Semiconductors price series.

Nxp Semiconductors Projected Return Density Against Market

Given the investment horizon of 90 days the stock has the beta coefficient of 1.7035 . 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, Nxp Semiconductors 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 Nxp Semiconductors or Technology 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 Nxp Semiconductors' 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 Nxp Semiconductors 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 0.2619, implying that it can generate a 0.26 percent excess return over DOW after adjusting for the inherited market risk (beta).
   Predicted Return Density   
Nxp Semiconductors' volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how nxp semiconductors 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 Nxp Semiconductors Price Volatility?

Several factors can influence a Stock's stock volatility:


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.

Nxp Semiconductors 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 Nxp Semiconductors or Technology 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 Nxp Semiconductors' 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 Nxp Semiconductors 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 Nxp Semiconductors is 2297.8. The daily returns are distributed with a variance of 6.64 and standard deviation of 2.58. The mean deviation of Nxp Semiconductors is currently at 1.91. For similar time horizon, the selected benchmark (DOW) has volatility of 1.24
Alpha over DOW
Beta against DOW1.70
Overall volatility
Information ratio 0.09

Nxp Semiconductors Stock Return Volatility

Nxp Semiconductors historical daily return volatility represents how much of Nxp Semiconductors stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company inherits 2.5776% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 1.2716% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 

About Nxp Semiconductors Volatility

Volatility is a rate at which the price of Nxp Semiconductors 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 Nxp Semiconductors may increase or decrease. In other words, similar to Nxp Semiconductors's beta indicator, it measures the risk of Nxp Semiconductors and helps estimate the fluctuations that may happen in a short period of time. So if prices of Nxp Semiconductors 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.
NXP Semiconductors N.V. offers various semiconductor products. NXP Semiconductors N.V. was incorporated in 2006 and is headquartered in Eindhoven, the Netherlands. Nxp Semiconductors is traded on NASDAQ Exchange in the United States.

Nxp Semiconductors Investment Opportunity

Nxp Semiconductors has a volatility of 2.58 and is 2.03 times more volatile than DOW. 22  of all equities and portfolios are less risky than Nxp Semiconductors. Compared to the overall equity markets, volatility of historical daily returns of Nxp Semiconductors is lower than 22 () of all global equities and portfolios over the last 90 days. Use Nxp Semiconductors to protect your portfolios against small market fluctuations. Benchmarks are essential to demonstrate the utility of optimization algorithms. The stock experiences a very speculative upward sentiment. Check odds of Nxp Semiconductors to be traded at $144.16 in 90 days.

Very poor diversification

The correlation between Nxp Semiconductors and DJI is 0.81 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Nxp Semiconductors and DJI in the same portfolio, assuming nothing else is changed.

Nxp Semiconductors Additional Risk Indicators

The analysis of Nxp Semiconductors' 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 Nxp Semiconductors' investment and either accepting that risk or mitigating it. Along with some common measures of Nxp Semiconductors 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.

Nxp Semiconductors 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 Nxp Semiconductors 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. Nxp Semiconductors' 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, Nxp Semiconductors' 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 Nxp Semiconductors.
Additionally, see Correlation Analysis. You can also try Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.

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