Autoliv Stock Volatility
| ALV Stock | USD 117.81 1.50 1.29% |
Sharpe Ratio = -0.0435
| Leading Returns | Top Quartile | |||
| Strong | ||||
| Moderate | ||||
| Modest | ||||
| Cash | Low | Moderate | Elevated | High |
| Below Benchmark | ALV |
For Autoliv, recent data highlights a Market Risk Adjusted Performance of -0.1%, a Risk of 2.03, and a Risk Adjusted Performance of -0.03%. Based on monthly moving averages, the stock is not performing at its full potential.
Key indicators related to Autoliv's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for Autoliv (3 Months):
Beta 1.38 | Alpha -0.09 | Risk 2.03 | Sharpe Ratio -0.04 | Expected Return -0.09 |
Moving together with Autoliv Stock
| 0.85 | CAAS | China Automotive Systems | PairCorr |
| 0.8 | ATX | ATEX Resources | PairCorr |
| 0.69 | LME | Laurion Mineral | PairCorr |
| 0.72 | LUFFF | Luff Enterprises | PairCorr |
Moving Against Autoliv Stock
| 0.79 | AKRBF | Aker BP ASA | PairCorr |
| 0.78 | EC | Ecopetrol SA ADR | PairCorr |
| 0.78 | UAN | CVR Partners LP | PairCorr |
| 0.71 | EWK | Earthworks Industries | PairCorr |
| 0.37 | XTC | Exco Technologies Earnings Call This Week | PairCorr |
| 0.34 | EMR | Emergent Metals Corp Earnings Call This Week | PairCorr |
| 0.32 | ENGGY | Enagas SA | PairCorr |
Sensitivity To Market
The beta coefficient of 1.38 for Autoliv measures how its returns respond to broader market changes. In regression terms, beta captures the slope between asset returns and index returns. Historical volatility is currently near 2.03%. This analysis separates observed movement from interpretation for Autoliv. Standard deviation (1.99%) and downside deviation (0.0%) describe the range without implying direction. Options markets imply a forward-looking volatility estimate near 44.0%. This indicates expectations for moderate future movement relative to historical averages. Volatility is commonly higher for smaller or less liquid equities due to wider spreads and thinner order books. For Autoliv, measured downside deviation describes the intensity of negative return periods.
3 Months Beta |Autoliv Demand TrendCurrent 90-day Autoliv correlation with market (Dow Jones Industrial)Downside Risk
Autoliv standard deviation over the selected horizon reflects the magnitude of daily price swings relative to the historical average. A rising standard deviation for Autoliv over successive periods signals increasing price uncertainty. Autoliv standard deviation compared across rolling windows highlights periods of elevated or subdued price risk. The daily dispersion captured by standard deviation is one of the most widely used risk metrics for Autoliv.
Standard Deviation | 2.03 |
Upside risk in Autoliv is captured by its standard deviation, which includes both favorable and unfavorable price movements. While standard deviation captures total price dispersion, semi-deviation and downside deviation measure only loss risk in Autoliv's returns. Total return dispersion for Autoliv encompasses both favorable and adverse price movements within the measured period. The distinction matters because favorable volatility in Autoliv is not the same as damaging volatility. For Autoliv, recent data highlights a Maximum Drawdown of 9.84.
Autoliv Put Option Risk Profile Based on 2026-06-18 Contracts
For Autoliv, recent data highlights an Option Implied Volatility of 0.44 and an Option Max Pain Price of 115. Put options on Autoliv provide a mechanism for limiting downside risk without selling Autoliv's shares. The put buyer pays a premium upfront for the right to sell Autoliv Stock at the strike price before expiration. Put options on Autoliv effectively cap the maximum observed loss on Autoliv Stock. This insurance-like feature makes Autoliv put options a core component of risk management for holders of Autoliv's stock.
Autoliv's PUT expiring on 2026-06-18
Profit |
| Autoliv Price At Expiration |
Current Autoliv Insurance Chain
| Delta | Gamma | Open Int | Expiration | Current Spread | Last Price | |||
| Put | ALV260618P00065000 | -0.03195 | 0.001772 | 3 | 2026-06-18 | 0.0 - 1.15 | 0.0 | View |
| Put | ALV260618P00080000 | -0.050657 | 0.003608 | 1 | 2026-06-18 | 0.0 - 1.35 | 0.0 | View |
| Put | ALV260618P00085000 | -0.082985 | 0.00525 | 1 | 2026-06-18 | 0.0 - 2.45 | 0.0 | View |
| Put | ALV260618P00090000 | -0.049797 | 0.005359 | 5 | 2026-06-18 | 0.0 - 0.85 | 0.0 | View |
| Put | ALV260618P00095000 | -0.084138 | 0.008461 | 10 | 2026-06-18 | 0.35 - 1.15 | 0.0 | View |
| Put | ALV260618P00100000 | -0.122787 | 0.012505 | 8 | 2026-06-18 | 0.85 - 1.25 | 0.0 | View |
| Put | ALV260618P00105000 | -0.187604 | 0.018392 | 14 | 2026-06-18 | 1.5 - 2.0 | 0.0 | View |
| Put | ALV260618P00110000 | -0.296462 | 0.024679 | 709 | 2026-06-18 | 2.7 - 3.2 | 0.0 | View |
| Put | ALV260618P00115000 | -0.434025 | 0.028597 | 8 | 2026-06-18 | 4.5 - 5.0 | 0.0 | View |
| Put | ALV260618P00120000 | -0.578373 | 0.028765 | 50 | 2026-06-18 | 7.2 - 7.7 | 0.0 | View |
| Put | ALV260618P00130000 | -0.776543 | 0.019287 | 1 | 2026-06-18 | 14.4 - 16.4 | 0.0 | View |
Stock Volatility Analysis
Autoliv stock volatility is a key input for most investment risk models. When Autoliv's volatility is elevated, prices swing by several percentage points in a single session. Understanding Autoliv volatility quantifies the risk of holding Autoliv's stock. These price changes indicate the level of risk and return variability associated with Autoliv's.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Autoliv'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
Over a 90-day investment horizon, Autoliv has a beta of 1.3834. This suggests when the benchmark rises, the company tends to outperform it on average. However, when benchmark returns turn negative, Autoliv tends to underperform.Autoliv combines broad market sensitivity with company or sector-specific developments. Diversification may lower asset-specific risk, but systematic volatility remains inherent. For Autoliv, recent data highlights a Mean Deviation of 1.40, an Option Implied Volatility of 0.44, and a Standard Deviation of 1.99.
Predicted Return Distribution |
| Density |
What Drives Autoliv's Price Volatility?
Industry Dynamics
Competitive pressure, margin shifts, or structural changes in the Automobile Components sector can alter Autoliv's day-to-day volatility profile.Political and Economic Environment
Broad market tone, policy uncertainty, and recession or expansion signals shape volatility conditions for Autoliv.Autoliv's Company-Specific Factors
Unexpected business updates, leadership changes, or legal outcomes can drive outsized moves in Autoliv's stock.Stock Risk Measures
Over a 90-day investment horizon, the coefficient of variation of Autoliv is -2298.51. The daily returns are distributed with a variance of 4.14 and standard deviation of 2.03. The mean deviation of Autoliv is currently at 1.44. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.94
α | Alpha over Dow Jones | -0.0911 | |
β | Beta against Dow Jones | 1.38 | |
σ | Overall volatility | 2.03 | |
Ir | Information ratio | -0.0459 |
Stock Return Volatility
Volatility for Autoliv quantifies the day-to-day dispersion of stock returns around their historical average. The company carries 2.0347% return volatility across the 90-day horizon. As a benchmark, Dow Jones Industrial reported 0.9502% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
Please upgrade your account to get full access to Macroaxis premium features
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
| High negative correlations
|
Risk-Adjusted Indicators
Headline performance for Autoliv Stock may not fully reflect how the business compares across its competitive set. Risk-adjusted metrics help compare Autoliv's efficiency and downside exposure against peers on a like-for-like basis. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| BWA | 1.98 | 0.28 | 0.13 | 0.24 | 1.88 | 3.94 | 28.08 | |||
| LKQ | 1.33 | -0.04 | 0.00 | 0.17 | 0.00 | 2.43 | 8.87 | |||
| QS | 3.11 | -0.57 | 0.00 | -0.26 | 0.00 | 7.03 | 21.05 | |||
| MOD | 3.24 | 0.95 | 0.26 | 0.38 | 2.97 | 7.59 | 31.28 | |||
| DDS | 1.76 | -0.15 | 0.00 | -0.16 | 0.00 | 3.13 | 12.66 | |||
| ALSN | 1.36 | 0.31 | 0.19 | 0.24 | 1.40 | 3.58 | 8.67 | |||
| PAG | 1.27 | -0.05 | 0.00 | -0.05 | 0.00 | 3.44 | 8.71 | |||
| VIPS | 1.57 | -0.21 | 0.00 | -15.96 | 0.00 | 3.06 | 10.37 | |||
| LAD | 1.56 | -0.24 | 0.00 | 0.88 | 0.00 | 3.16 | 8.59 | |||
| LEA | 1.60 | 0.09 | 0.06 | 0.06 | 1.51 | 4.76 | 13.83 |
Risk Metrics, Assumptions & Methodology
Beta for Autoliv measures the share of volatility attributable to broad market movements versus company-specific factors. Beta instability across periods suggests the relationship between market risk and asset volatility is shifting. Autoliv has a market cap of 8.71 B, P/E of 28.06, ROE of 28.37%.
Autoliv values are built from periodic company reporting and market reference feeds, with reporting definitions aligned before display. Professional analyst research is incorporated when coverage is available. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Ellen Johnson, Member of Macroaxis Editorial Board
Autoliv Volatility Profile Summary
Recent data suggests that Autoliv is more volatile than Dow Jones Industrial by approximately 2.14x 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 18% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.Autoliv with characteristics aligned to broad market upside participation. This price-change note interprets the latest move in the context of short-horizon trading behavior. It is intended to separate routine noise from more speculative bursts in price action. a large bullish trend. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View Autoliv probability analysis.
Minimal diversification benefit
The correlation between Autoliv and Dow Jones is 0.92, which Macroaxis classifies as Minimal diversification benefit for the selected horizon. A 0.92 reading means Autoliv and Dow Jones have substantial price overlap, limiting risk reduction through pairing.
Autoliv Additional Risk Indicators
Secondary risk indicators for Autoliv evaluate exposure beyond standard deviation, beta, or one headline volatility measure. A thorough risk review clarifies whether current exposure warrants maintenance, reduction, or offset elsewhere in the portfolio.
| Risk Adjusted Performance | -0.03 | |||
| Market Risk Adjusted Performance | -0.06 | |||
| Mean Deviation | 1.4 | |||
| Coefficient Of Variation | -2,419 | |||
| Standard Deviation | 1.99 | |||
| Variance | 3.98 | |||
| Information Ratio | -0.05 |
Autoliv Suggested Diversification Pairs
A pair-trading setup around Autoliv shifts the return benchmark from the broad market to a second position, altering the risk profile. The key question is whether the second leg adds real hedge value instead of just creating a more complex version of the same risk.
Risk reduction through pair trading is real but has limits - not every type of exposure can be offset by a second leg. Autoliv's exposure to overall market risk stays intact regardless of pairing. The value of a second leg lies in reducing Autoliv's idiosyncratic risk - the part that comes from company-level events rather than macro conditions.