Agios Pharm Stock Volatility
| AGIO Stock | USD 27.79 0.26 0.94% |
Sharpe Ratio = 0.0336
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Agios Pharm posted a Market Risk Adjusted Performance of 0.1%, a Risk of 4.24, and a Risk Adjusted Performance of 0.03% for the reported period. The stock reflects approximately 2% of its established trend range based on monthly averages.
Key indicators related to Agios Pharm's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for Agios Pharm (3 Months):
Beta 0.66 | Alpha 0.1 | Risk 4.24 | Sharpe Ratio 0.03 | Expected Return 0.14 |
Lower Correlation Assets
| 0.51 | ENVB | Enveric Biosciences | PairCorr |
| 0.43 | INM | InMed Pharmaceuticals | PairCorr |
| 0.32 | WINT | Windtree Therapeutics | PairCorr |
Sensitivity To Market
Agios Pharm beta coefficient measures the volatility of Agios Pharm stock relative to the systematic risk of the broad market benchmark. A beta of 0.66 indicates the degree of sensitivity to market-wide movements. Current total volatility is approximately 4.24%. Agios Pharm has shown noticeable price swings over the selected period. Downside deviation is about 4.74% and standard deviation is about 4.21%, which summarize how widely returns have moved. Options markets imply a forward-looking volatility estimate near 195.0%. This suggests the market is pricing in the possibility of wider future price swings compared to recent historical dispersion. For individual stocks, volatility often rises around earnings, guidance updates, and major company news.
3 Months Beta |Agios Pharm Demand TrendCurrent 90-day Agios Pharm correlation with market (Dow Jones Industrial)Downside Risk
Standard deviation measures how far Agios Pharm returns deviate from the historical mean and remains a primary indicator of total price volatility. A large standard deviation signals wide price swings; a small one signals relative stability. Peer-relative standard deviation places Agios Pharm on a common scale for cross-instrument volatility ranking. This dispersion metric remains a common starting point for assessing Agios Pharm price volatility.
Standard Deviation | 4.24 |
For Agios Pharm, the distinction between upside and downside risk matters. Downside risk, the risk of loss specifically, is better measured by semi-deviation or downside deviation of Agios Pharm's returns. Total price dispersion for Agios Pharm includes upside moves that do not represent loss risk. Using both metrics together provides a more complete view of Agios Pharm's risk characteristics. Agios Pharm posted a Downside Deviation of 4.74, a Downside Variance of 22.45, and a Maximum Drawdown of 37.22 for the reported period.
Agios Pharm Put Option Risk Profile Based on 2026-05-15 Contracts
Agios Pharm posted an Option Implied Volatility of 1.95 and an Option Max Pain Price of -1 for the reported period. Put options are among the most common instruments associated with downside coverage on Agios Pharm Stock. Holding a put on Agios Pharm Stock locks in a minimum effective selling price for Agios Pharm during the option's life. For long positions in Agios Pharm, put options represent a relatively low-cost downside coverage instrument. The choice of strike and expiration for Agios Pharm puts determines the level and duration of protection on Agios Pharm Stock.
Agios Pharm's PUT expiring on 2026-06-18
Profit |
| Agios Pharm Price At Expiration |
Current Agios Pharm Insurance Chain
| Delta | Gamma | Open Int | Expiration | Current Spread | Last Price | |||
| Put | AGIO260515P00012500 | -0.043834 | 0.005963 | 4 | 2026-05-15 | 0.0 - 0.7 | 0.0 | View |
| Put | AGIO260515P00015000 | -0.05497 | 0.008905 | 15 | 2026-05-15 | 0.0 - 0.7 | 0.0 | View |
| Put | AGIO260515P00017500 | -0.069263 | 0.013492 | 1 | 2026-05-15 | 0.0 - 0.7 | 0.0 | View |
| Put | AGIO260515P00020000 | -0.053456 | 0.017844 | 321 | 2026-05-15 | 0.0 - 0.3 | 0.0 | View |
| Put | AGIO260515P00022500 | -0.056942 | 0.029356 | 126 | 2026-05-15 | 0.0 - 0.2 | 0.0 | View |
| Put | AGIO260515P00025000 | -0.058734 | 0.060672 | 220 | 2026-05-15 | 0.05 - 0.3 | 0.0 | View |
| Put | AGIO260515P00030000 | -0.783212 | 0.115281 | 611 | 2026-05-15 | 2.5 - 2.65 | 0.0 | View |
| Put | AGIO260515P00035000 | 0.0 | 0.0 | 383 | 2026-05-15 | 5.1 - 9.3 | 0.0 | View |
Stock Volatility Analysis
Volatility describes the degree to which Agios Pharm stock price fluctuates in either direction. It captures how much Agios Pharm's price fluctuates, which is relevant to allocation calibration. Volatility in Agios Pharm reflects the degree of uncertainty around Agios Pharm's stock price. Periods of elevated volatility in Agios Pharm reward disciplined traders while exposing long-term holders to drawdowns.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Agios Pharm's open, high, low, and close for each trading period. By incorporating all four price components equally, it provides a balanced representation of each period's trading activity. Compared to using the closing price alone, the average price reduces the influence of end-of-day positioning and can serve as a smoother input for other technical indicators.
Projected Return Density Against Market
Given a 90-day horizon, Agios Pharm has a beta of 0.6629. This suggests as returns on the market go up, Agios Pharm's average returns tend to increase less than the benchmark. However, during a bear market, the loss from holding Agios Pharm tends to be smaller as well.Systematic risk links Agios Pharm to broad stock market cycles, while unsystematic risk stems from company or sector-specific developments. Diversification addresses the latter, but macro sensitivity persists. Beta measures relative responsiveness. Agios Pharm posted a Downside Deviation of 4.74, a Mean Deviation of 2.28, and an Option Implied Volatility of 1.95 for the reported period.
Predicted Return Distribution |
| Density |
What Drives Agios Pharm's Price Volatility?
Industry Dynamics
Regulatory updates, demand shifts, and competitive changes in the Biotechnology sector can move Agios Pharm's volatility even when broad indices are stable.Political and Economic Environment
Rates, inflation expectations, and policy headlines can shift discount rates and risk appetite for Agios Pharm.Agios Pharm's Company-Specific Factors
Earnings surprises, guidance changes, management decisions, and litigation risk are common catalysts for sharp re-pricing in Agios Pharm's shares.Stock Risk Measures
Given a 90-day horizon, the coefficient of variation of Agios Pharm is 2979.84. The daily returns are distributed with a variance of 17.97 and standard deviation of 4.24. The mean deviation of Agios Pharm is currently at 2.26. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.92
α | Alpha over Dow Jones | 0.10 | |
β | Beta against Dow Jones | 0.66 | |
σ | Overall volatility | 4.24 | |
Ir | Information ratio | 0.03 |
Stock Return Volatility
Agios Pharm historical daily return volatility represents how much of Agios Pharm stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm reported 4.2395% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial reported 0.9237% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
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Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
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Risk-Adjusted Indicators
Strong recent returns in Agios Pharm Stock do not always mean Agios Pharm Company is outperforming peers on business quality. Without risk-adjusted context, short-term returns may appear stronger than the volatility required to achieve them would suggest. These indicators are quantitative in nature and measure volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| DNLI | 2.84 | -0.02 | 0.00 | -0.03 | 0.00 | 7.15 | 20.38 | |||
| RXRX | 3.03 | -0.13 | 0.00 | -0.09 | 0.00 | 6.27 | 19.86 | |||
| BEAM | 3.46 | 0.41 | 0.09 | 0.18 | 4.03 | 8.81 | 24.09 | |||
| RCUS | 3.17 | 0.40 | 0.10 | 0.20 | 3.50 | 7.11 | 24.57 | |||
| ETNB | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| COGT | 1.88 | -0.03 | 0.00 | -0.04 | 0.00 | 4.94 | 17.20 | |||
| IBRX | 5.84 | 0.95 | 0.12 | 0.51 | 6.61 | 14.55 | 62.92 | |||
| GLPG | 1.31 | -0.28 | 0.00 | -0.31 | 0.00 | 1.95 | 9.71 | |||
| SRPT | 3.43 | 0.21 | 0.04 | 0.08 | 4.58 | 6.11 | 44.66 | |||
| LQDA | 2.71 | 0.00 | 0.00 | -0.02 | 0.00 | 5.58 | 14.97 |
Risk Metrics, Assumptions & Methodology
Beta for Agios Pharm measures the share of volatility attributable to broad market movements versus company-specific factors. Low beta does not mean low volatility; it means volatility is driven more by idiosyncratic than systematic factors. Agios Pharm has a market cap of 1.65 billion, P/E of 1.26, ROE of -32.81%.
Agios Pharm metrics are compiled from periodic company reporting and market reference feeds and normalized before display. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Michael Smolkin, Member of Macroaxis Board of Directors
Volatility Profile Summary
Recent data suggests that Agios Pharm is more volatile than Dow Jones Industrial by approximately 4.61x over the selected horizon. This differential reflects the relative dispersion of returns and frames how the asset responds to broader market conditions. Observed price behavior indicates modest directional movement within the current volatility regime. Across the current 90-day horizon, that places the security below 38% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.Agios Pharm with characteristics aligned to broad market upside participation. This short-horizon analysis focuses on what the latest move may imply for immediate market context. It works best as a directional cue rather than as a standalone forecast. a moderate upward price movement. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View Agios Pharm probability analysis.
Strong inverse diversification
Across the chosen horizon, Agios Pharm and Dow Jones show a correlation of -0.33 and fall into the Strong inverse diversification bucket. Lower overlap tends to improve diversification, while higher overlap means both positions carry similar risk.
Additional Risk Indicators
Risk analysis around Agios Pharm gains depth when secondary indicators confirm, refine, or challenge the basic volatility picture. This is most informative when assessing whether the current opportunity is being compensated with reasonable risk.
| Risk Adjusted Performance | 0.0292 | |||
| Market Risk Adjusted Performance | 0.1417 | |||
| Mean Deviation | 2.28 | |||
| Semi Deviation | 4.5 | |||
| Downside Deviation | 4.74 | |||
| Coefficient Of Variation | 4327.25 | |||
| Standard Deviation | 4.21 |
Agios Pharm Suggested Diversification Pairs
A paired position built around Agios Pharm reduces directional market exposure while expressing a relative-value view. The key question is whether the second leg adds real hedge value instead of just creating a more complex version of the same risk.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Agios Pharm as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Agios Pharm's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Agios Pharm's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Agios Pharm.