Freeport McMoran Copper Gold Stock Volatility
| FCX Stock | USD 61.05 -0.43 -0.70% |
Sharpe Ratio = 0.0182
| Leading Returns | Top Quartile | |||
| Strong | ||||
| Moderate | ||||
| Modest | ||||
| Cash | Low | Moderate | FCX | High |
| Below Benchmark |
For Freeport McMoran Copper Gold, recent data highlights a Market Risk Adjusted Performance of 0.04%, a Risk of 3.63, and a Risk Adjusted Performance of 0.03%. Monthly performance data shows the stock operating at about 1% of its measured historical range.
Key indicators related to Freeport McMoran's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for Freeport McMoran (3 Months):
Beta 2.08 | Alpha 0.0711 | Risk 3.63 | Sharpe Ratio 0.0182 | Expected Return 0.0661 |
Moving together with Freeport Stock
| 0.76 | MT | ArcelorMittal SA ADR Earnings Call This Week | PairCorr |
| 0.69 | TG | Tredegar | PairCorr |
| 0.68 | TX | Ternium SA ADR Earnings Call This Week | PairCorr |
| 0.83 | VALE | Vale SA ADR Earnings Call This Week | PairCorr |
| 0.8 | MKO | Mako Mining Corp | PairCorr |
| 0.61 | CTM | Centaurus Metals | PairCorr |
| 0.69 | QTWO | Q2 Metals Corp | PairCorr |
Moving Against Freeport Stock
Sensitivity To Market
Freeport McMoran Copper Gold exhibits a beta of 2.08, representing its market-relative sensitivity. This coefficient separates systematic risk from company-specific volatility. Total return dispersion is approximately 3.63%. Freeport McMoran Copper Gold return patterns over the selected horizon reflect a forward elevated level of variability, based on dispersion and downside-focused statistics. Standard deviation is near 3.58%. Options markets imply a forward-looking volatility estimate near 87.0%. This suggests the market is pricing in the possibility of wider future price swings compared to recent historical dispersion. Volatility is commonly higher for smaller or less liquid equities due to wider spreads and thinner order books. For Freeport McMoran, measured downside deviation describes the intensity of negative return periods.
3 Months Beta |Freeport McMoran Copper Demand TrendCurrent 90-day Freeport McMoran correlation with market (Dow Jones Industrial)Downside Risk
For Freeport, the standard deviation figure expresses the observed spread of daily returns over the selected period. The magnitude of Freeport standard deviation determines where it falls on the volatility spectrum relative to peers. Pairing standard deviation with beta separates Freeport total risk from its market-driven component. Combining Freeport standard deviation with skewness and kurtosis gives a more complete picture of return distribution shape.
Standard Deviation | 3.63 |
Distinguishing between standard deviation and downside deviation sharpens the risk picture for Freeport McMoran. Standard deviation reflects total return dispersion for Freeport McMoran, while downside deviation captures only the adverse portion of Freeport McMoran's returns. Standard deviation and downside deviation for Freeport McMoran measure different things - total dispersion vs. loss-only dispersion. Semi-deviation and downside deviation focus on the loss risk embedded in Freeport McMoran's returns. For Freeport McMoran Copper Gold, recent data highlights a Downside Deviation of 4.26, a Downside Variance of 18.16, and a Maximum Drawdown of 20.18.
Freeport Put Option Risk Profile Based on 2026-05-15 Contracts
For Freeport McMoran Copper Gold, recent data highlights an Option Implied Volatility of 0.87 and an Option Max Pain Price of 61. Put options written on Freeport McMoran allow holders to profit from or offset a decline in Freeport McMoran's price. A put option on Freeport Stock gives the buyer the right to sell Freeport McMoran at the strike price until expiration. Freeport McMoran put options are associated with existing long-exposure coverage or directional views on a price decline in Freeport Stock. Reviewing Freeport McMoran's put open interest reveals where institutional hedging activity is concentrated for Freeport McMoran.
Freeport McMoran's PUT expiring on 2026-07-17
Profit |
| Freeport McMoran Price At Expiration |
Current Freeport McMoran Insurance Chain
| Delta | Gamma | Open Int | Expiration | Current Spread | Last Price | |||
| Put | FCX260515P00020000 | -0.002713 | 3.09E-4 | 118 | 2026-05-15 | 0.0 - 0.05 | 0.0 | View |
| Put | FCX260515P00022000 | -0.041187 | 0.001893 | 5 | 2026-05-15 | 0.0 - 2.13 | 0.0 | View |
| Put | FCX260515P00023000 | -0.043067 | 0.002042 | 23 | 2026-05-15 | 0.0 - 2.13 | 0.0 | View |
| Put | FCX260515P00024000 | -0.044992 | 0.0022 | 990 | 2026-05-15 | 0.0 - 2.13 | 0.0 | View |
| Put | FCX260515P00025000 | -0.046969 | 0.002368 | 106 | 2026-05-15 | 0.0 - 2.13 | 0.0 | View |
| Put | FCX260515P00026000 | -0.010241 | 0.001084 | 116 | 2026-05-15 | 0.0 - 0.2 | 0.0 | View |
| Put | FCX260515P00027000 | -0.050964 | 0.002735 | 87 | 2026-05-15 | 0.0 - 2.12 | 0.0 | View |
| Put | FCX260515P00028000 | -0.043236 | 0.002729 | 2155 | 2026-05-15 | 0.0 - 1.48 | 0.0 | View |
| Put | FCX260515P00029000 | -0.055489 | 0.003158 | 179 | 2026-05-15 | 0.0 - 2.13 | 0.0 | View |
| Put | FCX260515P00030000 | -0.057801 | 0.003391 | 4519 | 2026-05-15 | 0.0 - 2.13 | 0.0 | View |
| Put | FCX260515P00031000 | -0.060199 | 0.00364 | 1238 | 2026-05-15 | 0.0 - 2.13 | 0.0 | View |
Stock Volatility Analysis
For Freeport McMoran, understanding volatility is essential to assessing portfolio risk contribution. It indicates how dramatically Freeport McMoran's price swings over a specific time horizon. For Freeport McMoran, volatility is both a risk factor and a driver of return dispersion. Sharp price movements in Freeport McMoran's are triggered by earnings surprises, macroeconomic data, or sector trends.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Freeport McMoran Copper'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, Freeport McMoran has a beta of 2.079. This usually indicates when the benchmark rises, the company tends to outperform it on average. However, when benchmark returns turn negative, Freeport McMoran tends to underperform.Holders of Freeport McMoran face systematic risk from broad stock market trends and unsystematic risk from company or sector-specific developments. Diversification reduces specific exposure, but macro-driven volatility persists. Beta remains a common sensitivity metric. For Freeport McMoran Copper Gold, recent data highlights a Downside Deviation of 4.26, a Mean Deviation of 2.71, and an Option Implied Volatility of 0.87.
Predicted Return Distribution |
| Density |
What Drives Freeport McMoran's Price Volatility?
Industry Dynamics
Freeport McMoran's volatility can rise when competitive dynamics or demand conditions shift across the Metals & Mining sector.Political and Economic Environment
Changes in fiscal policy, rates, and growth expectations affect market-wide risk premiums and spill into Freeport McMoran's trading.Freeport McMoran's Company-Specific Factors
Event risk around earnings, forecasts, and operating performance can create abrupt price dispersion in Freeport McMoran.Stock Risk Measures
Over a 90-day investment horizon, the coefficient of variation of Freeport McMoran is 5485.25. The daily returns are distributed with a variance of 13.16 and standard deviation of 3.63. The mean deviation of Freeport McMoran Copper Gold is currently at 2.74. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.94
α | Alpha over Dow Jones | 0.07 | |
β | Beta against Dow Jones | 2.08 | |
σ | Overall volatility | 3.63 | |
Ir | Information ratio | 0.02 |
Stock Return Volatility
Freeport McMoran return volatility captures the typical daily swing in stock returns relative to the mean over the selected period. The company has volatility of 3.6279% on return distribution over a 90-day investment horizon. Meanwhile, Dow Jones Industrial reported 0.9502% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
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
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Risk-Adjusted Indicators
Freeport McMoran Company can look attractive on recent price action while risk efficiency lags the peer group. Reviewing Freeport McMoran's risk-adjusted indicators gives a clearer view of whether returns are being earned efficiently. 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| B | 2.37 | -0.21 | 0.00 | -0.14 | 0.00 | 3.46 | 15.76 | |||
| APD | 1.09 | 0.26 | 0.21 | -1.49 | 0.99 | 2.73 | 10.47 | |||
| VALE | 1.98 | 0.23 | 0.08 | -0.82 | 2.55 | 4.71 | 11.33 | |||
| CTVA | 1.10 | 0.22 | 0.15 | -1.79 | 1.14 | 2.51 | 7.26 | |||
| BHP | 1.82 | 0.35 | 0.13 | 0.24 | 2.28 | 4.47 | 10.47 | |||
| ECL | 1.04 | -0.05 | 0.00 | -0.06 | 0.00 | 2.03 | 7.92 | |||
| CRH | 1.65 | -0.02 | 0.00 | -0.01 | 0.00 | 3.21 | 9.10 | |||
| VMC | 1.41 | -0.02 | 0.00 | -0.02 | 0.00 | 2.29 | 11.93 | |||
| AEM | 2.53 | 0.01 | 0.00 | 0.01 | 4.08 | 5.36 | 15.67 |
Risk Metrics, Assumptions & Methodology
Beta for Freeport McMoran measures the share of volatility attributable to broad market movements versus company-specific factors. A beta above one indicates amplified sensitivity to market swings, increasing both upside and downside exposure. Freeport McMoran has a market cap of 88.36 B, P/E of 14.07, ROE of 13.95%.
Freeport McMoran Copper Gold figures are aggregated from periodic company reporting and market reference feeds and normalized across reporting formats. Sell-side coverage, where present, supplements the data shown. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Rifka Kats, Member of Macroaxis Editorial Board
Freeport McMoran Volatility Profile Summary
Recent data suggests that Freeport McMoran Copper Gold is more volatile than Dow Jones Industrial by approximately 3.82x 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 32% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.Freeport McMoran Copper Gold exhibits characteristics that tend to dampen sensitivity to smaller market fluctuations within the current volatility regime. This directional read frames the latest price swing through a simple momentum and follow-through lens. It gives extra weight to the size of the move, the quote level, and whether the instrument trades in a hype-prone venue. a moderate downward daily trend that may serve as a diversifier. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View Freeport McMoran probability analysis.
Poor diversification
The correlation between Freeport McMoran and Dow Jones is 0.66, which Macroaxis classifies as Poor diversification for the selected horizon. The overlap area shows the portion of risk diversified away by holding both instruments together.
Freeport McMoran Additional Risk Indicators
Secondary risk indicators for Freeport McMoran Copper Gold 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 | 0.0281 | |||
| Market Risk Adjusted Performance | 0.0432 | |||
| Mean Deviation | 2.71 | |||
| Semi Deviation | 4.1 | |||
| Downside Deviation | 4.26 | |||
| Coefficient Of Variation | 4523.72 | |||
| Standard Deviation | 3.58 |
Freeport McMoran Suggested Diversification Pairs
A pair-trading setup around Freeport McMoran shifts the return benchmark from the broad market to a second position, altering the risk profile. This structure emphasizes relative performance differences between paired assets rather than broad market direction.
While pairing positions reduces portfolio risk, some forms of risk persist no matter which instruments are combined. No matter how well a pair is constructed around Freeport McMoran, market-wide risk remains. What pair trading can address is Freeport McMoran's unsystematic risk - the portion driven by company or sector-specific factors rather than broad market forces.