MercadoLibre Stock Volatility
| MELI Stock | USD 1,633 -237.49 -12.70% |
Sharpe Ratio = -0.1073
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MercadoLibre posted a Market Risk Adjusted Performance of -0.3%, a Risk of 2.83, and a Risk Adjusted Performance of -0.1% for the reported period. Based on monthly moving averages, the stock is not performing at its full potential.
Key indicators related to MercadoLibre's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for MercadoLibre (3 Months):
Beta 1.04 | Alpha -0.31 | Risk 2.83 | Sharpe Ratio -0.11 | Expected Return -0.30 |
Assets With Similar Volatility
| 0.86 | M | Macys Inc | PairCorr |
| 0.78 | DDS | Dillards | PairCorr |
| 0.84 | KSS | Kohls | PairCorr |
| 0.88 | SVV | Savers Value Village | PairCorr |
| 0.79 | JMIA | Jumia Technologies AG | PairCorr |
| 0.82 | BABA | Alibaba Group Holding Aggressive Push | PairCorr |
| 0.65 | SIGL | Signal Advance | PairCorr |
Lower Correlation Assets
Sensitivity To Market
The beta coefficient of 1.04 for MercadoLibre 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 2.83%. This analysis separates observed movement from interpretation for MercadoLibre. Standard deviation (2.84%) and downside deviation (0.0%) describe the range without implying direction. Options markets imply a forward-looking volatility estimate near 42.0%. This indicates expectations for moderate future movement relative to historical averages. Equity volatility compresses in calm markets and expands quickly when uncertainty increases. Stock dispersion changes materially during earnings seasons and macro data releases.
3 Months Beta |MercadoLibre Demand TrendCurrent 90-day MercadoLibre correlation with market (Dow Jones Industrial)Downside Risk
MercadoLibre standard deviation over the selected horizon reflects the magnitude of daily price swings relative to the historical average. A rising standard deviation for MercadoLibre over successive periods signals increasing price uncertainty. MercadoLibre 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 MercadoLibre.
Standard Deviation | 2.83 |
Upside risk in MercadoLibre 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 MercadoLibre's returns. Total return dispersion for MercadoLibre encompasses both favorable and adverse price movements within the measured period. The distinction matters because favorable volatility in MercadoLibre is not the same as damaging volatility. MercadoLibre posted a Maximum Drawdown of 11.38 for the reported period.
MercadoLibre Put Option Risk Profile Based on 2026-07-17 Contracts
MercadoLibre posted an Option Implied Volatility of 0.42 and an Option Max Pain Price of 1600 for the reported period. Put options on MercadoLibre provide a mechanism for limiting downside risk without selling MercadoLibre's shares. The put buyer pays a premium upfront for the right to sell MercadoLibre Stock at the strike price before expiration. Put options on MercadoLibre effectively cap the maximum observed loss on MercadoLibre Stock. This insurance-like feature makes MercadoLibre put options a core component of risk management for holders of MercadoLibre's stock.
MercadoLibre's PUT expiring on 2026-07-17
Profit |
| MercadoLibre Price At Expiration |
Current MercadoLibre Insurance Chain
| Delta | Gamma | Open Int | Expiration | Current Spread | Last Price | |||
| Put | MELI260717P01020000 | -0.015359 | 1.02E-4 | 21 | 2026-07-17 | 0.0 - 7.5 | 0.0 | View |
| Put | MELI260717P01040000 | -0.027462 | 1.52E-4 | 24 | 2026-07-17 | 0.0 - 9.6 | 0.0 | View |
| Put | MELI260717P01060000 | -0.006367 | 6.0E-5 | 18 | 2026-07-17 | 0.0 - 9.6 | 0.0 | View |
| Put | MELI260717P01080000 | -0.008162 | 7.5E-5 | 15 | 2026-07-17 | 0.0 - 9.6 | 0.0 | View |
| Put | MELI260717P01100000 | -0.030665 | 1.86E-4 | 12 | 2026-07-17 | 0.05 - 9.6 | 0.0 | View |
| Put | MELI260717P01160000 | -0.045495 | 2.66E-4 | 13 | 2026-07-17 | 0.05 - 14.6 | 0.0 | View |
| Put | MELI260717P01180000 | -0.026806 | 2.11E-4 | 15 | 2026-07-17 | 0.05 - 10.0 | 0.0 | View |
| Put | MELI260717P01200000 | -0.042777 | 2.88E-4 | 21 | 2026-07-17 | 2.8 - 9.6 | 0.0 | View |
| Put | MELI260717P01220000 | -0.039741 | 2.94E-4 | 9 | 2026-07-17 | 1.0 - 13.0 | 0.0 | View |
| Put | MELI260717P01240000 | -0.061726 | 3.83E-4 | 7 | 2026-07-17 | 1.1 - 21.1 | 0.0 | View |
| Put | MELI260717P01260000 | -0.059044 | 4.0E-4 | 18 | 2026-07-17 | 3.8 - 10.1 | 0.0 | View |
Stock Volatility Analysis
MercadoLibre stock volatility is a key input for most investment risk models. When MercadoLibre's volatility is elevated, prices swing by several percentage points in a single session. Understanding MercadoLibre volatility quantifies the risk of holding MercadoLibre's stock. These price changes indicate the level of risk and return variability associated with MercadoLibre's.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of MercadoLibre'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, MercadoLibre has a beta of 1.0425. This indicates MercadoLibre market returns are responsive to returns on the market. As the market goes up or down, MercadoLibre tends to follow.MercadoLibre combines broad market sensitivity with company or sector-specific developments. Diversification may lower asset-specific risk, but systematic volatility remains inherent. MercadoLibre posted a Mean Deviation of 1.93, an Option Implied Volatility of 0.42, and a Standard Deviation of 2.84 for the reported period.
Predicted Return Distribution |
| Density |
What Drives MercadoLibre's Price Volatility?
Industry Dynamics
Competitive pressure, margin shifts, or structural changes in the Broadline Retail sector can alter MercadoLibre's day-to-day volatility profile.Political and Economic Environment
Broad market tone, policy uncertainty, and recession or expansion signals shape volatility conditions for MercadoLibre.MercadoLibre's Company-Specific Factors
Unexpected business updates, leadership changes, or legal outcomes can drive outsized moves in MercadoLibre's stock.Stock Risk Measures
Given a 90-day horizon, the coefficient of variation of MercadoLibre is -931.67. The daily returns are distributed with a variance of 7.99 and standard deviation of 2.83. The mean deviation of MercadoLibre is currently at 1.89. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.96
α | Alpha over Dow Jones | -0.3131 | |
β | Beta against Dow Jones | 1.04 | |
σ | Overall volatility | 2.83 | |
Ir | Information ratio | -0.1102 |
Stock Return Volatility
Volatility for MercadoLibre quantifies the day-to-day dispersion of stock returns around their historical average. The firm carries 2.8273% return volatility across the 90-day horizon. As a benchmark, 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
Headline performance for MercadoLibre Stock may not fully reflect how the business compares across its competitive set. Risk-adjusted metrics help compare MercadoLibre'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| SE | 2.42 | -0.25 | 0.00 | -0.18 | 0.00 | 5.75 | 22.68 | |||
| CVNA | 3.01 | 0.05 | 0.01 | 0.02 | 3.65 | 6.51 | 13.17 | |||
| LOW | 1.49 | -0.26 | 0.00 | -0.19 | 0.00 | 3.61 | 9.32 | |||
| SBUX | 1.41 | 0.14 | 0.08 | 0.13 | 1.69 | 3.42 | 10.50 | |||
| NKE | 1.60 | -0.53 | 0.00 | -0.56 | 0.00 | 2.81 | 18.82 | |||
| TJX | 0.94 | 0.00 | 0.00 | -0.01 | 1.11 | 2.08 | 5.19 | |||
| PDD | 1.49 | -0.04 | 0.00 | -0.03 | 0.00 | 3.82 | 9.61 | |||
| JD | 1.42 | 0.20 | 0.14 | 0.22 | 1.30 | 3.40 | 11.04 | |||
| EBAY | 1.83 | 0.37 | 0.14 | 0.59 | 2.11 | 3.74 | 9.20 | |||
| CPNG | 2.38 | -0.15 | 0.00 | -0.12 | 0.00 | 3.93 | 24.66 |
Risk Metrics, Assumptions & Methodology
Drawdown depth for MercadoLibre defines the worst peak-to-trough loss observed, framing downside volatility in practical terms. Drawdown frequency and clustering help distinguish episodic stress from persistent volatility regimes. MercadoLibre has a market cap of 82.76 billion, P/E of 188.27, ROE of 35.99%.
MercadoLibre values are built from periodic company reporting and market reference feeds, with reporting definitions aligned before display. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Gabriel Shpitalnik, Member of Macroaxis Editorial Board
Volatility Profile Summary
Recent data suggests that MercadoLibre is more volatile than Dow Jones Industrial by approximately 3.08x 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 25% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.MercadoLibre exhibits characteristics that tend to dampen sensitivity to smaller market fluctuations within the current volatility regime. This short-horizon analysis focuses on what the latest move may imply for immediate market context. It highlights whether the move looks ordinary, stressed, or unusually speculative for the instrument. a very speculative upward sentiment. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View MercadoLibre probability analysis.
Poor diversification
MercadoLibre currently posts a 0.79 correlation with Dow Jones, indicating a Poor diversification relationship for the active sample. A 0.79 reading means MercadoLibre and Dow Jones have substantial price overlap, limiting risk reduction through pairing.
Additional Risk Indicators
Looking at additional risk metrics for MercadoLibre frames how the position may behave under different market and portfolio conditions. The practical goal is to identify how much risk is being accepted and whether that risk still fits the thesis.
| Risk Adjusted Performance | -0.1 | |||
| Market Risk Adjusted Performance | -0.29 | |||
| Mean Deviation | 1.93 | |||
| Coefficient Of Variation | -930.92 | |||
| Standard Deviation | 2.84 | |||
| Variance | 8.08 | |||
| Information Ratio | -0.11 |
MercadoLibre Suggested Diversification Pairs
Pair trading with MercadoLibre hedges company-specific exposure by balancing a long view with an offsetting position. This structure emphasizes relative performance differences between paired assets rather than broad market direction.
Risk reduction through pair trading is real but has limits - not every type of exposure can be offset by a second leg. MercadoLibre's exposure to overall market risk stays intact regardless of pairing. The value of a second leg lies in reducing MercadoLibre's idiosyncratic risk - the part that comes from company-level events rather than macro conditions.