Stock Price Variance (Nov 14, 2023)

KTA: Actual U.S. stock price variance continues to drop. See data below.

• What is the actual stock price variance currently?
• Do stock prices have higher or lower volatility over the last six months?

One way to measure the riskiness of US-listed stocks is to measure the variance of stock price changes. Risk is a function of stock price variance, which is the degree which stock prices vary around their mean change. We believe that risky stock portfolios with high variance require investors to demand a higher expected return to hold them. The high uncertainty presented by higher variance requires a higher expected return.

When stock price variance falls across all stocks, and for the major indices, then the expected return required by investors falls. At least, that is what the theory says.

What we are seeing is consistently lower stock portfolio variance over the timeframe that we have been reporting this set of data, and it continues to decline. There is less price volatility in stocks, broadly speaking, and this tends to support stock prices.

The S&P 500 Index ETF:
May 5: 3.8 x 10-5
May 15: 3.5 x 10-5
Sept 12: 2.4 x 10-5
September 18: 2.2 x 10-5
October 3: 2.2 x 10-5
October 13: 2.0 x 10-5
October 16: 2.0 x 10-5
October 24: 1.9 x 10-5
October 30: 1.8 x 10-5
October 31: 1.8 x 10-5
November 14: 1.5 x 10-5
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All Chicago Quantum Net Score stocks that pass data validation:
May 5: 6.3 x 10-5, for 3,397 stocks
​May 15: 5.8 x 10-5 for 3,384 stocks
​Sept 12: 4.2 x 10-5 for 3,021 stocks
September 18: 4.1 x 10-5 for 3,021 stocks
October 3: 3.8 x 10-5 for 2,992 stocks (Natural attrition of 29 stocks. No change in validation parameters.)
October 13: 3.6 x 10-5 for 2,979 stocks (Natural attrition of 13 stocks. No change in validation parameters.)
​October 16: 3.6 x 10-5 for 2,981 stocks
October 24: 3.5 x 10-5 for 2,979 stocks
​October 30: 3.4 x 10-5 for 2,979 stocks
October 31: 3.4 x 10-5 for 2,978 stocks
November 14: 3.2 x 10-5 for 2,983 stocks

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Total equity market capitalization of all Chicago Quantum Net Score stocks that pass data validation:
October 31: $47.89T for 2,978 stocks
November 14: $51.6T for 2,983 stocks (up significantly over the past 2 weeks)

​Average Volume:

​October 31: 1.085% (vs. last year, average, across all stocks)
November 14: 1.391% (volume up 39% vs. the average over the last year, averaged across all stocks)

Click to read more detail on our stock price variance research