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Rockwell Automation Inc Realized Volatility Hits A Collapsing Low




Rockwell Automation Inc (NYSE:ROK) Realized Volatility Hits A Collapsing Low

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PREFACE
This is a proprietary realized volatility rating created by Capital Market Laboratories (CMLviz) based on a large number of data interactions for Rockwell Automation Inc (NYSE:ROK) . We examine the little used gem of daily stock volatility 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.

As a heads up, in the "Why This Matters" section at the end of this article on Rockwell Automation Inc (NYSE:ROK) , we're going to take a step back and show really clearly that there is actually a lot less "luck" in successful option trading than most people are aware of. This idea of an "option trading expert" is vastly over complicated so those with the information advantage can continue to profit at the expense of the rest.

But before that, let's turn back to ROK. This is a four step process for computing the realized volatility risk. Here we go.

ROK Recent Realized Volatility


Rating
Realized volatility using proprietary measures has hit a tumbling low level. While stocks with ROK'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 Rockwell Automation Inc (NYSE:ROK) .

Rockwell Automation Inc Stock Performance
ROK is up +15.5% over the last three months and up +22.4% over the last six months. The stock price is up +48.0% over the last year. The current stock price is $138.31.

ROK 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 +15.5% has a small impact on the realized volatility rating for ROK.
  The small difference between the 3-month and 6-month stock returns does not impact the realized volatility rating for ROK.

ROK 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 Rockwell Automation Inc (NYSE:ROK) and how the day-by-day realized historical volatilities have impacted the rating:

  The HV20 of 15.8% is quite low and has a substantial downward impact on ROK's volatility rating.


ROK Step 3: Rockwell Automation Inc HV20 Compared to Indices
* The HV20 for ROK is substantially larger than that for both the S&P 500 and the NASDAQ 100 which raises the volatility rating.

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

Here is summary data in tabular and chart format.

           ROK
           HV20    
   S&P 500
HV20
   NASDAQ 100
HV20   
   XLK
HV20   
           15.8%    7.19%    9.37%    9.25%

ROK 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 ROK is 33.2%, which is not enough to impact the realized volatility rating.

Here is summary data in tabular and chart format.

           ROK
           HV20    
   ROK
HV30
   ROK
HV30 High   
           15.8%    17.7%    33.2%

Final Realized Volatility Percentile Level: ROK
The final evolution of the volatility rating for Rockwell Automation 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 Rockwell Automation Inc is 25%, which means the stock has seen low volatility in its price movement relative to its own past and that has a slightly dampening impact on the realized volatility rating.

Rockwell Automation Inc Realized Volatility Percentiles