Herc Holdings Stock Volatility
| HRI Stock | USD 131.89 -4.12 -3.03% |
Sharpe Ratio = -0.0884
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Herc Holdings's financial profile includes a Market Risk Adjusted Performance of -0.1%, a Risk of 4.36, and a Risk Adjusted Performance of -0.02%. Monthly moving average analysis shows the stock is not yet reaching its full return potential.
Key indicators related to Herc Holdings' volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for Herc Holdings (3 Months):
Beta 2.27 | Alpha -0.15 | Risk 4.36 | Sharpe Ratio -0.09 | Expected Return -0.39 |
Moving together with Herc Holdings Stock
| 0.81 | DNOW | Now Inc Earnings Call This Week | PairCorr |
| 0.62 | DSGR | Distribution Solutions | PairCorr |
| 0.83 | EQPT | EquipmentShare Class | PairCorr |
| 0.88 | BXC | BlueLinx Holdings | PairCorr |
| 0.79 | CNM | Core Main | PairCorr |
| 0.8 | IPW | iPower Inc | PairCorr |
| 0.75 | XMTR | Xometry Earnings Call This Week | PairCorr |
| 0.61 | QXO | QXO Inc | PairCorr |
| 0.76 | JBDI | JBDI Holdings Limited | PairCorr |
Moving Against Herc Holdings Stock
Sensitivity To Market
Herc Holdings beta of 2.27 quantifies how much of its total volatility (4.36%) is attributable to market-wide factors versus idiosyncratic drivers. Herc Holdings return dispersion over the lookback window shows standard deviation near 4.46% and semi-deviation near 0.0%, providing a baseline for comparison across peer instruments. Options markets imply a forward-looking volatility estimate near 65.0%. This suggests the market is pricing in the possibility of wider future price swings compared to recent historical dispersion. Stock volatility reflects changes in expectations about revenue, margins, and competitive position. For Herc Holdings, price swings may be influenced by sector movement and company-specific headlines.
3 Months Beta |Herc Holdings Demand TrendCurrent 90-day Herc Holdings correlation with market (Dow Jones Industrial)Downside Risk
Herc Holdings daily return dispersion, captured by standard deviation, sets the baseline volatility reading for this instrument. High standard deviation indicates a volatile instrument; low standard deviation indicates a more stable one. Shifting the lookback window for Herc Holdings reveals whether current dispersion is consistent with its longer-term pattern. Changes in Herc Holdings standard deviation over successive periods may signal shifts in the underlying return regime.
Standard Deviation | 4.36 |
An important distinction for Herc Holdings is between total volatility and downside-only risk. Downside deviation and semi-deviation isolate the loss risk in Herc Holdings' daily returns from favorable moves. Total dispersion for Herc Holdings captures both favorable and adverse price swings. Downside deviation focuses exclusively on the adverse side of Herc Holdings' return distribution. Herc Holdings's financial profile includes a Maximum Drawdown of 23.25.
Herc Holdings Put Option Risk Profile Based on 2026-06-18 Contracts
Herc Holdings's financial profile includes an Option Implied Volatility of 0.65 and an Option Max Pain Price of 135. Protective puts on Herc Holdings are a standard downside risk instrument on Herc Holdings Stock. A put on Herc Holdings Stock gives the buyer the contractual right to sell Herc Holdings shares at the strike before expiration. A put option on Herc Holdings functions as an insurance policy for holders of Herc Holdings' shares. This protective structure defines the worst-case exit price for Herc Holdings while retaining full upside participation.
Herc Holdings' PUT expiring on 2026-06-18
Profit |
| Herc Holdings Price At Expiration |
Current Herc Holdings Insurance Chain
| Delta | Gamma | Open Int | Expiration | Current Spread | Last Price | |||
| Put | HRI260618P00065000 | -0.035296 | 0.001214 | 51 | 2026-06-18 | 0.0 - 2.15 | 0.0 | View |
| Put | HRI260618P00070000 | -0.023281 | 0.001096 | 1 | 2026-06-18 | 0.0 - 1.0 | 0.0 | View |
| Put | HRI260618P00075000 | -0.017844 | 0.001053 | 1 | 2026-06-18 | 0.0 - 0.6 | 0.0 | View |
| Put | HRI260618P00080000 | -0.019694 | 0.001267 | 15 | 2026-06-18 | 0.0 - 0.6 | 0.0 | View |
| Put | HRI260618P00085000 | -0.024342 | 0.00164 | 20 | 2026-06-18 | 0.0 - 0.7 | 0.0 | View |
| Put | HRI260618P00090000 | -0.030997 | 0.002164 | 79 | 2026-06-18 | 0.0 - 0.85 | 0.0 | View |
| Put | HRI260618P00095000 | -0.046086 | 0.003088 | 44 | 2026-06-18 | 0.15 - 1.15 | 0.0 | View |
| Put | HRI260618P00100000 | -0.039063 | 0.00335 | 224 | 2026-06-18 | 0.1 - 0.75 | 0.0 | View |
| Put | HRI260618P00105000 | -0.083435 | 0.005539 | 3 | 2026-06-18 | 0.45 - 1.3 | 0.0 | View |
| Put | HRI260618P00110000 | -0.11544 | 0.007352 | 14 | 2026-06-18 | 1.45 - 1.8 | 0.0 | View |
| Put | HRI260618P00115000 | -0.165172 | 0.009429 | 6 | 2026-06-18 | 2.0 - 2.7 | 0.0 | View |
Stock Volatility Analysis
Tracking Herc Holdings volatility quantifies the degree of price uncertainty over a given period. Highly volatile stocks like Herc Holdings tend to experience wider price swings in both directions. Periods of high volatility for Herc Holdings present both elevated risk and wider price ranges for traders. When Herc Holdings experiences high volatility, its stock price shifts dramatically in a short period.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Herc Holdings'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, Herc Holdings has a beta of 2.2703. This usually indicates when the benchmark rises, HRI tends to outperform it on average. However, when benchmark returns turn negative, Herc Holdings tends to underperform.Market risk ties Herc Holdings to macro cycles, whereas company or sector-specific developments represent independent drivers. Volatility metrics help measure this balance. Herc Holdings's financial profile includes a Mean Deviation of 3.40, an Option Implied Volatility of 0.65, and a Standard Deviation of 4.46.
Predicted Return Distribution |
| Density |
What Drives Herc Holdings' Price Volatility?
Industry Dynamics
Sector-level catalysts in the Trading Companies & Distributors sector often set the baseline volatility regime for Herc Holdings.Political and Economic Environment
Interest-rate path changes, geopolitical developments, and macro surprises influence investor risk tolerance.Herc Holdings' Company-Specific Factors
Execution updates, margin trends, and corporate actions can shift near-term return dispersion for Herc Holdings'.Stock Risk Measures
Over a 90-day investment horizon, the coefficient of variation of Herc Holdings is -1130.84. The daily returns are distributed with a variance of 19.05 and standard deviation of 4.36. The mean deviation of Herc Holdings is currently at 3.33. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.97
α | Alpha over Dow Jones | -0.1523 | |
β | Beta against Dow Jones | 2.27 | |
σ | Overall volatility | 4.36 | |
Ir | Information ratio | -0.0325 |
Stock Return Volatility
Herc Holdings daily volatility tracks how widely stock returns have moved around the mean across the selected time frame. The firm reflects 4.3648% volatility on return distribution over a 90-day horizon. On the other hand, Dow Jones Industrial reported 0.9313% 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
Return momentum in Herc Holdings Stock is more useful when tested against peer-relative fundamentals and risk. Reviewing Herc Holdings' 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| CAR | 6.99 | 1.09 | 0.08 | 0.60 | 11.87 | 17.27 | 72.08 | |||
| WSC | 2.46 | 0.28 | 0.09 | 0.13 | 2.88 | 6.12 | 15.55 | |||
| BCO | 1.65 | -0.21 | 0.00 | -0.14 | 0.00 | 3.80 | 18.50 | |||
| GVA | 1.56 | 0.20 | 0.12 | 0.14 | 1.50 | 3.25 | 13.20 | |||
| ECG | 3.44 | 0.90 | 0.25 | 0.37 | 3.21 | 9.36 | 31.50 | |||
| MRCY | 2.80 | -0.11 | 0.00 | -0.06 | 0.00 | 5.57 | 22.32 | |||
| ENS | 2.03 | 0.27 | 0.08 | 0.15 | 3.04 | 4.16 | 13.90 | |||
| IEP | 1.00 | 0.13 | 0.09 | 0.47 | 1.24 | 2.59 | 8.69 | |||
| OMAB | 1.77 | -0.17 | 0.00 | -0.14 | 0.00 | 3.60 | 9.69 | |||
| ALK | 2.98 | -0.42 | 0.00 | -0.12 | 0.00 | 7.58 | 16.99 |
Risk Metrics, Assumptions & Methodology
Standard deviation for Herc Holdings measures how widely returns scatter around their average over a given period. Dispersion compression can indicate low-information regimes where prices drift on thin conviction. Herc Holdings has a market cap of 4.54 billion, P/E of 34.25, ROE of -0.31%.
Herc Holdings inputs come from periodic company reporting and market reference feeds and are mapped into a consistent reporting framework. 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: Raphi Shpitalnik, Junior Member of Macroaxis Editorial Board
Volatility Profile Summary
Recent data suggests that Herc Holdings is more volatile than Dow Jones Industrial by approximately 4.69x 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 39% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.Herc Holdings exhibits characteristics that tend to dampen sensitivity to smaller market fluctuations within the current volatility regime. This price-change note interprets the latest move in the context of short-horizon trading behavior. It highlights whether the move looks ordinary, stressed, or unusually speculative for the instrument. an unexpected downward movement. The market is reacting to new fundamentals. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View Herc Holdings probability analysis.
Poor diversification
The correlation between Herc Holdings and Dow Jones is 0.74, which Macroaxis classifies as Poor diversification for the selected horizon. Lower overlap tends to improve diversification, while higher overlap means both positions carry similar risk.
Additional Risk Indicators
Secondary risk indicators for Herc Holdings evaluate exposure beyond standard deviation, beta, or one headline volatility measure. Cross-security comparison within similar growth and valuation profiles provides additional context for interpreting relative risk positioning.
| Risk Adjusted Performance | -0.02 | |||
| Market Risk Adjusted Performance | -0.05 | |||
| Mean Deviation | 3.4 | |||
| Coefficient Of Variation | -3,439 | |||
| Standard Deviation | 4.46 | |||
| Variance | 19.92 | |||
| Information Ratio | -0.03 |
Herc Holdings Suggested Diversification Pairs
A pair-trading setup around Herc Holdings 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.
Pair strategies reduce risk, but not all risk is diversifiable through pairing. Market-level risk for Herc Holdings persists even in a well-constructed pair. The benefit is in offsetting Herc Holdings' company-specific risk, which can be meaningfully reduced by selecting a second position that moves independently of Herc Holdings.