iShares Utilities ETF Volatility
| IDU ETF | USD 113.92 -1.36 -1.18% |
Sharpe Ratio = 0.0629
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For iShares Utilities ETF, recent data highlights a Market Risk Adjusted Performance of 0.4%, a Risk of 1.05, and a Risk Adjusted Performance of 0.1%. Monthly performance data shows the ETF operating at about 4% of its measured historical range.
Key indicators related to IShares Utilities' volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for IShares Utilities (3 Months):
Beta 0.17 | Alpha 0.06 | Risk 1.05 | Sharpe Ratio 0.06 | Expected Return 0.07 |
Moving together with IShares ETF
| 1.0 | XLU | Utilities Select Sector | PairCorr |
| 0.99 | VPU | Vanguard Utilities Index | PairCorr |
| 0.99 | FUTY | Fidelity MSCI Utilities | PairCorr |
| 0.96 | FXU | First Trust Utilities | PairCorr |
| 0.93 | JXI | iShares Global Utilities | PairCorr |
| 0.88 | PUI | Invesco DWA Utilities | PairCorr |
| 0.85 | UTES | Virtus Reaves Utilities | PairCorr |
Sensitivity To Market
iShares Utilities ETF exhibits a beta of 0.17, representing its market-relative sensitivity. This coefficient separates systematic risk from company-specific volatility. Total return dispersion is approximately 1.05%. iShares Utilities ETF return patterns over the selected horizon reflect a low level of variability, based on dispersion and downside-focused statistics. Standard deviation is near 1.03%. Options markets imply a forward-looking volatility estimate near 21.0%. This reflects comparatively contained forward-looking volatility expectations. ETF volatility often reflects both the underlying basket and the trading layer. Premium/discount to NAV is often expressed as (Price − NAV) / NAV × 100 when NAV is available. Spread stability also shapes short-term movement.
3 Months Beta |iShares Utilities ETF Demand TrendCurrent 90-day IShares Utilities correlation with market (Dow Jones Industrial)Downside Risk
For IShares, the standard deviation figure expresses the observed spread of daily returns over the selected period. The magnitude of IShares standard deviation determines where it falls on the volatility spectrum relative to peers. Pairing standard deviation with beta separates IShares total risk from its market-driven component. Combining IShares standard deviation with skewness and kurtosis gives a more complete picture of return distribution shape.
Standard Deviation | 1.05 |
Distinguishing between standard deviation and downside deviation sharpens the risk picture for IShares Utilities. Standard deviation reflects total return dispersion for IShares Utilities, while downside deviation captures only the adverse portion of IShares Utilities' returns. Standard deviation and downside deviation for IShares Utilities measure different things - total dispersion vs. loss-only dispersion. Semi-deviation and downside deviation focus on the loss risk embedded in IShares Utilities' returns. For iShares Utilities ETF, recent data highlights a Downside Deviation of 1.06, a Downside Variance of 1.13, and a Maximum Drawdown of 6.47.
IShares Put Option Risk Profile Based on 2026-06-18 Contracts
For iShares Utilities ETF, recent data highlights an Option Implied Volatility of 0.21 and an Option Max Pain Price of -1. Put options written on IShares Utilities allow holders to profit from or offset a decline in IShares Utilities' price. A put option on IShares ETF gives the buyer the right to sell IShares Utilities at the strike price until expiration. IShares Utilities put options are associated with existing long-exposure coverage or directional views on a price decline in IShares ETF. Reviewing IShares Utilities' put open interest reveals where institutional hedging activity is concentrated for IShares Utilities.
IShares Utilities' PUT expiring on 2026-06-18
Profit |
| IShares Utilities Price At Expiration |
Current IShares Utilities Insurance Chain
| Delta | Gamma | Open Int | Expiration | Current Spread | Last Price | |||
| Put | IDU260618P00113000 | -0.322447 | 0.038434 | 9 | 2026-06-18 | 0.0 - 4.1 | 0.0 | View |
| Put | IDU260618P00116000 | -0.440634 | 0.054448 | 9 | 2026-06-18 | 0.15 - 4.8 | 0.0 | View |
| Put | IDU260618P00117000 | -0.493337 | 0.049381 | 1 | 2026-06-18 | 2.25 - 5.7 | 0.0 | View |
ETF Volatility Analysis
For IShares Utilities, understanding volatility is essential to assessing portfolio risk contribution. It indicates how dramatically IShares Utilities' price swings over a specific time horizon. For IShares Utilities, volatility is both a risk factor and a driver of return dispersion. Sharp price movements in IShares Utilities' 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 iShares Utilities ETF'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, IShares Utilities has a beta of 0.1691. This usually indicates as returns on the market go up, IShares Utilities's average returns tend to increase less than the benchmark. However, during a bear market, the loss from holding iShares Utilities ETF tends to be smaller as well.Holders of IShares Utilities face systematic risk from broad ETF 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 iShares Utilities ETF, recent data highlights a Downside Deviation of 1.06, a Mean Deviation of 0.75, and an Option Implied Volatility of 0.21.
Predicted Return Distribution |
| Density |
What Drives IShares Utilities' Price Volatility?
Holdings and Allocation
IShares Utilities' volatility can rise when allocation drift or holdings turnover shifts across the Utilities category.Political and Economic Environment
Changes in fiscal policy, rates, and growth expectations affect market-wide risk premiums and spill into IShares Utilities' trading.IShares Utilities' Fund-Specific Factors
Fund flow dynamics, expense-ratio competitiveness, and index reconstitution events can create abrupt price dispersion in IShares Utilities.ETF Risk Measures
Over a 90-day investment horizon, the coefficient of variation of IShares Utilities is 1590.2. The daily returns are distributed with a variance of 1.09 and standard deviation of 1.05. The mean deviation of iShares Utilities ETF is currently at 0.77. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.97
α | Alpha over Dow Jones | 0.06 | |
β | Beta against Dow Jones | 0.17 | |
σ | Overall volatility | 1.05 | |
Ir | Information ratio | 0.05 |
ETF Return Volatility
IShares Utilities return volatility captures the typical daily swing in ETF returns relative to the mean over the selected period. The exchange-traded fund has volatility of 1.0457% on return distribution over a 90-day investment horizon. Meanwhile, Dow Jones Industrial reported 0.9238% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
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IShares Utilities Constituents Risk-Adjusted Indicators
IShares Utilities ETF can look attractive on recent price action while risk efficiency lags the peer group. Reviewing IShares Utilities' 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| IYJ | 0.91 | 0.01 | 0.01 | 0.01 | 1.13 | 1.91 | 5.21 | |||
| IAI | 1.21 | -0.02 | 0.00 | -0.02 | 0.00 | 2.21 | 5.96 | |||
| EEMA | 1.34 | 0.19 | 0.11 | 0.14 | 1.53 | 2.81 | 7.56 | |||
| EWA | 1.13 | 0.12 | 0.07 | -0.44 | 1.36 | 2.89 | 5.90 | |||
| IYG | 0.86 | -0.06 | 0.00 | -0.06 | 0.00 | 1.88 | 5.91 | |||
| SMMD | 0.99 | 0.10 | 0.08 | 0.09 | 1.22 | 2.13 | 5.82 | |||
| IYC | 0.86 | -0.02 | 0.00 | -0.02 | 0.00 | 1.68 | 4.04 | |||
| IYK | 0.70 | -0.04 | 0.00 | -0.12 | 0.00 | 1.48 | 4.00 | |||
| EUSA | 0.68 | 0.05 | 0.06 | 0.06 | 0.78 | 1.55 | 3.89 | |||
| AOM | 0.42 | 0.03 | 0.05 | -1.57 | 0.47 | 0.92 | 2.28 |
Risk Metrics, Assumptions & Methodology
Volatility regime analysis for IShares Utilities identifies whether the fund is currently in a high, low, or transitioning dispersion state. Regime transitions often precede directional moves, making volatility shifts a useful timing signal.
iShares Utilities ETF figures are aggregated from fund disclosures and market reference feeds and normalized across reporting formats. 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 iShares Utilities ETF is more volatile than Dow Jones Industrial by approximately 1.14x 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 9% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.iShares Utilities ETF 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 somewhat bearish sentiment with potential for near-term correction. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View IShares Utilities probability analysis.
Excellent diversification
For the present investment horizon, the measured correlation between IShares Utilities and Dow Jones stands at -0.19, or Excellent diversification. A -0.19 reading means IShares Utilities and Dow Jones have partial price overlap, providing moderate risk reduction when paired.
Additional Risk Indicators
Risk analysis around iShares Utilities ETF gains depth when secondary indicators confirm, refine, or challenge the basic volatility picture. A thorough risk review clarifies whether current exposure warrants maintenance, reduction, or offset elsewhere in the portfolio.
| Risk Adjusted Performance | 0.0643 | |||
| Market Risk Adjusted Performance | 0.351 | |||
| Mean Deviation | 0.7484 | |||
| Semi Deviation | 1.01 | |||
| Downside Deviation | 1.06 | |||
| Coefficient Of Variation | 1515.3 | |||
| Standard Deviation | 1.03 |
IShares Utilities Suggested Diversification Pairs
Pair analysis provides a framework for evaluating relative performance between iShares Utilities ETF and comparable securities. 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 IShares Utilities, market-wide risk remains. What pair trading can address is IShares Utilities' unsystematic risk - the portion driven by company or sector-specific factors rather than broad market forces.