Red Hat Inc (NYSE:RHT) Realized Volatility Hits An Extreme LowDate Published: 2016-07-29
This is a proprietary realized volatility rating created by Capital Market Laboratories (CMLviz) based on a large number of data interactions for Red Hat Inc (NYSE:RHT) . We examine the little used gem of daily stock volatilty over a 20-day and 30-day trading period, as well as comparisons to the last year and the actual stock returns over the last three- and six-months and the S&P 500 and Nasdaq 100 indices. This is a four step process, here we go.
RHT Recent Realized Volatility
Realized volatility using proprietary measures has hit a rock bottom low level.
Even though Red Hat Inc generates substantial revenue and is a largeer mid cap, just the fact that it is technology company makes RHT susceptible to excessive risk. Here is a rolling annual volatility chart of the biotech index (IBB) versus the Nasdaq 100 and the S&P 500. Note how elevated the technology sector volatility is (the yellow curve) relative to the S&P 500.
While stocks with RHT's profile see a short-term quiet period, this is also one of those times when a shake out volatility move could be on the horizon. Let's take a deep dive into some institutional level volatility measures for Red Hat Inc (NYSE:RHT) .
Red Hat Inc Stock Performance
RHT is up +1.4% over the last three months and up +6.3% over the last six months. The stock has returned -6.1% over the last year. The current stock price is $74.43.
RHT Step 1: Stock Returns
↪ The 3-month stock return of +1.4% is too small to impact the realized volatility rating for RHT.
↪ The small difference between the 3-month and 6-month stock returns does not impact the realized volatility rating for RHT.
RHT Step 2: Daily Realized Volatility Level
The HV30® takes the stock's day to day historical volatility over the last 30-days and then annualizes it. The HV20 looks back over just 20-days -- a shorter time period. Here is the breakdown for Red Hat Inc (NYSE:RHT) and how the day-by-day realized historical volatilities have impacted the rating:
↪ The HV20 of 19.5% is quite low and has a substantial downward impact on RHT's volatility rating.
RHT Step 3: Red Hat Inc HV20 Compared to Indices
The HV20 for RHT is substantially larger than that for both the S&P 500 and the NASDAQ 100 which raises the volatility rating. Here is summary data in tabular and chart format.
| S&P 500
| NASDAQ 100
RHT Step 4: Daily Volatility Percentiles and Highs
We also examine the annual high of the HV30 in our rating but in this case the 52 week high in HV30 for RHT is 46.5%, which is not enough to impact the realized volatility rating.
Here is summary data in tabular and chart format.
Final Realized Volatility Percentile Level: RHT
The final evolution of the volatility rating for Red Hat Inc is a comparison of the HV30 value relative to its past, which is neatly summarized in the percentile -- a scoring mechanism that goes from a low of 1 to a high of 100.
↪ The HV30 percentile for Red Hat Inc is 51%, which means the stock has seen elevated volatile price movement relative to its own past and that has a small impact on the realized volatility rating.
Red Hat Inc Realized Volatility Percentiles