Pfizer Stock Volatility

PFE -  USA Stock  

USD 50.40  0.94  1.83%

We consider Pfizer very steady. Pfizer Inc maintains Sharpe Ratio (i.e., Efficiency) of 0.0578, which implies the firm had 0.0578% of return per unit of risk over the last 3 months. Our standpoint towards forecasting 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-seven technical indicators for Pfizer Inc, which you can use to evaluate the future volatility of the company. Please check Pfizer Inc Coefficient Of Variation of 4045.63, semi deviation of 1.53, and Risk Adjusted Performance of 0.0348 to confirm if the risk estimate we provide is consistent with the expected return of 0.11%.
  
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Pfizer 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 Pfizer daily returns, and it is calculated using variance and standard deviation. We also use Pfizer's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Pfizer volatility.

30 Days Market Risk

Very steady

Chance of Distress

30 Days Economic Sensitivity

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

Pfizer Market Sensitivity And Downside Risk

Pfizer's beta coefficient measures the volatility of Pfizer 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 Pfizer stock's returns against your selected market. In other words, Pfizer's beta of 0.67 provides an investor with an approximation of how much risk Pfizer stock can potentially add to one of your existing portfolios.
Let's try to break down what Pfizer's beta means in this case. As returns on the market increase, Pfizer returns are expected to increase less than the market. However, during the bear market, the loss on holding Pfizer will be expected to be smaller as well.
3 Months Beta |Analyze Pfizer Inc Demand Trend
Check current 90 days Pfizer correlation with market (DOW)

Pfizer Beta

    
  0.67  
Pfizer 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

    
  1.85  
It is essential to understand the difference between upside risk (as represented by Pfizer's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Pfizer stock's daily returns or price. Since the actual investment returns on holding a position in Pfizer 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 Pfizer.

Pfizer Implied Volatility

    
  44.35  
Pfizer's implied volatility exposes the market's sentiment of Pfizer Inc stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if Pfizer'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 Pfizer stock will not fluctuate a lot when Pfizer's options are near their expiration.

Pfizer Inc Stock Volatility Analysis

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

Historical Volatility

This type of stock volatility measures Pfizer's fluctuations based on previous trends. It's commonly used to predict Pfizer'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 Pfizer'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. Pfizer Inc Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
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Pfizer Projected Return Density Against Market

Considering the 90-day investment horizon Pfizer has a beta of 0.673 indicating as returns on the market go up, Pfizer average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Pfizer 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 Pfizer 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 Pfizer 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 Pfizer 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 0.0997, implying that it can generate a 0.0997 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Pfizer's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how Pfizer 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.

Pfizer 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 Pfizer 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 Pfizer 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 Pfizer 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.
Considering the 90-day investment horizon the coefficient of variation of Pfizer is 1729.51. The daily returns are distributed with a variance of 3.44 and standard deviation of 1.85. The mean deviation of Pfizer Inc is currently at 1.51. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
α
Alpha over DOW
0.1
β
Beta against DOW0.67
σ
Overall volatility
1.85
Ir
Information ratio 0.07

Pfizer Stock Return Volatility

Pfizer historical daily return volatility represents how much Pfizer stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The firm has volatility of 1.8534% on return distribution over 90 days investment horizon. By contrast, DOW inherits 1.2982% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Pfizer Volatility

Volatility is a rate at which the price of Pfizer 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 Pfizer may increase or decrease. In other words, similar to Pfizer's beta indicator, it measures the risk of Pfizer and helps estimate the fluctuations that may happen in a short period of time. So if prices of Pfizer 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.
Pfizer Inc. discovers, develops, manufactures, markets, distributes, and sells biopharmaceutical products worldwide. Pfizer Inc. was founded in 1849 and is headquartered in New York, New York. Pfizer operates under Drug ManufacturersGeneral classification in the United States and is traded on New York Stock Exchange. It employs 78500 people.

Nearest Pfizer long CALL Option Payoff at Expiration

Pfizer's implied volatility is one of the determining factors in the pricing options written on Pfizer Inc. Implied volatility approximates the future value of Pfizerusing the option's current value. Options with high implied volatility have higher premiums and can be used to hedge the downside of investing in Pfizer Inc over a specific time period.
View All Pfizer options
2022-05-20 CALL at $27.5 is a CALL option contract on Pfizer's common stock with a strick price of 27.5 expiring on 2022-05-20. The contract was last traded on 2022-05-11 at 13:41:28 for $21.9 and, as of today, has 2 days remaining before the expiration. The option is currently trading at a bid price of $23.25, and an ask price of $23.55. The implied volatility as of the 18th of May 2022 is 343.1495.
 Profit 
Share
      Pfizer Price At Expiration 

Pfizer Investment Opportunity

Pfizer Inc has a volatility of 1.85 and is 1.42 times more volatile than DOW. 15  of all equities and portfolios are less risky than Pfizer. Compared to the overall equity markets, volatility of historical daily returns of Pfizer Inc is lower than 15 () of all global equities and portfolios over the last 90 days. Use Pfizer Inc to protect your portfolios against small market fluctuations. The stock experiences a somewhat bearish sentiment, but the market may correct it shortly. Check odds of Pfizer to be traded at $48.89 in 90 days. . Let's try to break down what Pfizer's beta means in this case. As returns on the market increase, Pfizer returns are expected to increase less than the market. However, during the bear market, the loss on holding Pfizer will be expected to be smaller as well.

Very weak diversification

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

Pfizer Additional Risk Indicators

The analysis of Pfizer'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 Pfizer's investment and either accepting that risk or mitigating it. Along with some common measures of Pfizer 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 Performance0.0348
Market Risk Adjusted Performance0.0627
Mean Deviation1.49
Semi Deviation1.53
Downside Deviation1.61
Coefficient Of Variation4045.63
Standard Deviation1.84
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.

Pfizer 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 Pfizer 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. Pfizer'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, Pfizer'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 Pfizer Inc.
Please check Your Equity Center. Note that the Pfizer Inc information on this page should be used as a complementary analysis to other Pfizer'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 Probability Of Bankruptcy module to get analysis of equity chance of financial distress in the next 2 years.

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