Red Hat Inc Stock Volatility Hits An Extreme Low




Red Hat Inc (NYSE:RHT) Stock Volatility Hits An Extreme Low

Date Published:

PREFACE
This is a proprietary stock volatility rating created by Capital Market Laboratories (CMLviz) based on a large number of data interactions for Red Hat Inc (NYSE:RHT) . We also look at broad measures of the S&P 500 and Nasdaq 100 indices as well as the ETF (XLK) as a proxy for the Information Technology sector.

This is a four step process, here we go.

RHT Recent Stock Volatility


Rating
Stock volatility using proprietary measures has hit a rock bottom low level.

Note
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 +5.3% over the last three months and up +1.2% over the last six months. The stock has returned -1.9% over the last year. The current stock price is $79.83.

RHT Step 1: Stock Returns
The one-year stock return does not impact the volatility rating since we are looking at a shorter time horizon. However, the rating does examine the 3-month returns and the absolute difference between the 3-month and 6-month returns.

  The 3-month stock return of +5.3% is too small to impact the stock volatility rating for RHT.
  The small difference between the 3-month and 6-month stock returns does not impact the stock volatility rating for RHT.

RHT Step 2: Daily Stock 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 stock historical volatilities have impacted the rating:

  The HV20 of 26.9% is low enough that it has a 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.

* The HV20 for RHT is substantially larger than that for the Technology ETF (XLK) which raises the volatility rating.

Here is summary data in tabular and chart format.

           RHT
           HV20    
   S&P 500
HV20
   NASDAQ 100
HV20   
   XLK
HV20   
           26.9%    7.7%    11.99%    14.03%

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 stock volatility rating.

Here is summary data in tabular and chart format.

           RHT
           HV20    
   RHT
HV30
   RHT
HV30 High   
           26.9%    25.9%    46.5%

Final Stock 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.

Red Hat Inc Realized Volatility Percentiles