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Risk and Volatility History of Delta Airlines Stock Price

Chapter II: Risks associated with short and long period price changes can be understood through Volatility Analysis. Here the impact of the Volatility Curve on the potential profitability positions across different time spans is shown.

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Daily Volatility = Price Range as a percent of the daily average price.

This chart shows Volatility for Delta Airlines, defined to be the price range as a portion of the average price:

For instance, on 10/12/2005 the average price was 0.63 with a range of 0.05, indicating a Daily Volatility of 7.9%. The Daily Volatility is obtained by dividing the daily range by the daily average. A longer Volatility period such as Weekly Volatility is obtained by dividing the weekly price range by the weekly mean price. This is a different concept from the weekly average of daily volatility.

The red plot shows the actual price. Volatility, as measured through various intervals, ( Daily, Weekly, Monthly and Quarterly) is plotted according to color.

According to academic theory, Volatility is exactly equal to Risk. But investors often make a distinction between these two concepts. The different character of Volatility as seen in different time frames, lends some support to the investor's view. During 25 years, the Average Quarterly Volatility of DAL stock price has been 30% while the Average Daily Volatility has been 3%.



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Volatility Curve

You may be familiar with the "yield curve" which shows how interest bearing yields vary according to term. These Volatility Curves each apply to a discrete time interval. As the timespan across which Volatility is measured increases, the Volatility is expected to increase. However, as seen in this plot of the DAL Volatility Curve, the increase is not constant.



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Daily Volatility Histogram

A frequency distribution of the green points on the first chart (the daily volatility) yields this histogram.



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Quarterly Volatility Histogram

In a similar vein, the Frequency Distribution of the Quarterly Volatility is plotted here. This is the distribution of the values plotted in purple on the top chart from this page.

For Subscribers: Refined Analysis of Delta Airlines Volatility and Risk Behavior

Refined Volatility Risk Analysis for DAL :

Public Pages : More DAL Technical Analysis Chalk-Talk Subjects

DAL Price Forecasts

DAL Traditional Time Series Analysis

Momentum Investing

Multi-Spectral Analysis

Political Season Trends DAL

DAL Transaction Volume Trends

DAL Calendar Seasonality

CandleStick Analysis

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Next Chapter 3:

This section shows historical volumes for sales of DAL stock, along with Seasonal and Cyclical Trends in Volume.

Go To Chapter III