General Terms

ATR (average true range): a volatility measure, taking into account any gaps in price movement. The ATR calculation is based on 14 periods, which can be intraday, daily, weekly, or monthly.

Intra-day range: the trading band from high to low for an asset throughout a trading day.

Close to close range: the trading band from high to low for an asset from one closing period to the next.

Overnight range (Jump Risk): the risk of price moves when the exchanges are closed, and executing a buy or sell order is impossible.  Also, a measure of the price movement of an asset from the close the previous day to the opening the following day.

Moving Average: the average change in a data or price series over time that smooths price data by continuously updating average prices.

PE Ratio: the ratio for valuing a company that measures the current share price relative to its earnings per share (EPS)

Market Cap: the market value of a publicly-traded company’s outstanding shares (the number of shares multiplied by the share price).

Dividend Yield: the dividend per share divided by the price per share or the total annual dividend payments divided by the market capitalization (market cap) expressed as a percentage.

Ex-Div Date: the day a stock begins trading without the subsequent dividend value. Legally, the ex-dividend date is one business day before the dividend record date.

Beta: a method of measuring a stock’s volatility compared with the overall market’s volatility. The market has a beta of 1. Stocks with a value greater than 1 are more volatile than the overall market, and a beta below 1 reflects stocks that are less volatile than the overall market.

EPS (earnings per share): a metric describing a public company’s profit per outstanding share of stock, calculated quarterly or annually. EPS= a company’s quarterly or annual net income divided by the number of outstanding shares.

Div. Yield: a financial ratio that indicates the percentage of a company’s share price that it pays shareholders in dividends each year.

Div. Rate: the percentage that indicates how much a company pays shareholders in dividends each year based on its stock price.

Historical Volatility (underlying): a metric that defines price variance or dispersion of returns for an asset over a period, calculated by determining the average deviation from the average price over a period.

Implied Volatility: the market’s consensus forecast of futures price variance. The chief determinant of call and put option values.

Forecast Volatility: volatility models are used to forecast the absolute magnitude of returns and predict quantiles, or density of returns.

Realized Volatility: the sum of the squared returns for a particular month or period, yielding a measure of price variance for the period.

Moving Averages:

  • Simple: calculated by adding recent prices and dividing the sum by the number of periods in the series.
  • Exponential: a weighted moving average that places a greater weighting on the most recent data points. Exponential moving averages react faster to price changes than simple moving averages.
  • Double Exponential: a weighted moving average that places even greater weighting than an exponential moving average, reducing lag as moving averages are a backward-looking indicator.
  • Kaufman Adaptive MA (KAMA): a moving average designed to account for market noise or volatility. KAMA closely follows prices when the price swings are relatively small with low noise or whipsaw. A declining KAMA indicates a downtrend, while an ascending KAMA points to an uptrend in prices.
  • Mesa Adaptive MA: a trend-following indicator that adapts to price movement based on the rate of change of the phase measured by the Hilbert Transform Discriminator, a technique that obtains the minimum-phase response, acting as an all-pass filter. 
  • Triple Exponential MA: a moving average that smooths price fluctuations, reduces lag, and reacts faster on more current prices than exponential or double exponential moving averages.
  • Triangular MA (Trima): the sum of the price of an asset over a specified number of data points, usually a number of price bars, placing weight on the middle prices of the period or series.
  • Weighted MA: a moving average that puts more weight on recent price data and less on past price data.