SunCoke Energy Stock Volatility
| SXC Stock | USD 6.51 0.14 2.20% |
Sharpe Ratio = -0.084
| Leading Returns | Top Quartile | |||
| Strong | ||||
| Moderate | ||||
| Modest | ||||
| Cash | Low | Moderate | Elevated | High |
| Below Benchmark | SXC |
SunCoke Energy (SXC) recorded a Market Risk Adjusted Performance of -1.2%, a Risk of 3.19, and a Risk Adjusted Performance of -0.1%. Based on monthly moving averages, the stock is not performing at its full potential.
Key indicators related to SunCoke Energy's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for SunCoke Energy (3 Months):
Beta 0.22 | Alpha -0.26 | Risk 3.19 | Sharpe Ratio -0.08 | Expected Return -0.27 |
Moving together with SunCoke Stock
| 0.67 | RS | Reliance Steel Aluminum | PairCorr |
| 0.74 | MARI | Marimaca Copper Corp | PairCorr |
| 0.78 | GCN | Goldcliff Resource Corp | PairCorr |
Moving Against SunCoke Stock
Sensitivity To Market
SunCoke Energy beta coefficient measures the volatility of SunCoke stock relative to the systematic risk of the broad market benchmark. A beta of 0.22 indicates the degree of sensitivity to market-wide movements. Current total volatility is approximately 3.19%. SunCoke Energy has shown noticeable price swings over the selected period. Downside deviation is about 0.0% and standard deviation is about 3.18%, which summarize how widely returns have moved. Options markets imply a forward-looking volatility estimate near 98.0%. This suggests the market is pricing in the possibility of wider future price swings compared to recent historical dispersion. For individual stocks, volatility often rises around earnings, guidance updates, and major company news.
3 Months Beta |SunCoke Energy Demand TrendCurrent 90-day SunCoke Energy correlation with market (Dow Jones Industrial)Downside Risk
Standard deviation measures how far SunCoke returns deviate from the historical mean and remains a primary indicator of total price volatility. A large standard deviation signals wide price swings; a small one signals relative stability.
Standard Deviation | 3.19 |
It is essential to understand the difference between upside risk and downside risk for SunCoke Energy. Total volatility includes favorable moves, while downside deviation isolates the loss risk in SunCoke Energy's daily returns. SunCoke Energy (SXC) recorded a Maximum Drawdown of 15.48.
SunCoke Put Option Risk Profile Based on 2026-06-18 Contracts
SunCoke Energy (SXC) recorded an Option Implied Volatility of 0.98 and an Option Max Pain Price of 7.50. Put options written on SunCoke Energy grant holders the right to sell a specified amount of SunCoke Stock at a specified price. Put options on SunCoke Stock are often purchased as a form of portfolio insurance against SunCoke Energy's declines.
SunCoke Energy's PUT expiring on 2026-06-18
Profit |
| SunCoke Energy Price At Expiration |
Current SunCoke Energy Insurance Chain
| Delta | Gamma | Open Int | Expiration | Current Spread | Last Price | |||
| Put | SXC260618P00005000 | -0.116085 | 0.123384 | 314 | 2026-06-18 | 0.05 - 0.15 | 0.0 | View |
| Put | SXC260618P00007500 | -0.64659 | 0.203662 | 334 | 2026-06-18 | 1.0 - 1.75 | 0.0 | View |
| Put | SXC260618P00010000 | -0.819015 | 0.102111 | 2 | 2026-06-18 | 3.1 - 4.3 | 0.0 | View |
| Put | SXC260618P00012500 | -0.822548 | 0.072265 | 10 | 2026-06-18 | 5.5 - 7.0 | 0.0 | View |
Stock Volatility Analysis
Volatility refers to the frequency at which SunCoke Energy stock price increases or decreases within a specified period. It is generally measured from either the standard deviation or variance between returns from that same stock.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Median Price transformation calculates the midpoint between SunCoke Energy's high and low for each trading period. This provides a simple measure of the period's central tendency based on range extremes, ignoring the opening and closing levels. Compared to the typical or weighted close price, the median price gives equal weight to buyers and sellers at the extremes and is often used as a smoothed input for trend and momentum indicators.
Projected Return Density Against Market
Over a 90-day investment horizon, SunCoke Energy has a beta of 0.2186. This usually implies as returns on the market go up, SunCoke Energy's average returns tend to increase less than the benchmark. However, during a bear market, the loss from holding SunCoke Energy tends to be smaller as well.SunCoke Energy is exposed to both systematic and unsystematic risk. Systematic risk reflects broader stock market movements, while company or sector-specific developments represent nonmarket drivers. Diversification may reduce specific risk, but market exposure remains. Beta and standard deviation help quantify volatility. SunCoke Energy (SXC) recorded a Mean Deviation of 2.39, an Option Implied Volatility of 0.98, and a Standard Deviation of 3.18.
Predicted Return Distribution |
| Density |
What Drives SunCoke Energy's Price Volatility?
Industry Dynamics
Regulatory updates, demand shifts, and competitive changes in the Metals & Mining sector can move SunCoke Energy's volatility even when broad indices are stable.Political and Economic Environment
Rates, inflation expectations, and policy headlines can shift discount rates and risk appetite for SunCoke Energy.SunCoke Energy's Company-Specific Factors
Earnings surprises, guidance changes, management decisions, and litigation risk are common catalysts for sharp re-pricing in SunCoke Energy's shares.Stock Risk Measures
Over a 90-day investment horizon, the coefficient of variation of SunCoke Energy is -1189.78. The daily returns are distributed with a variance of 10.16 and standard deviation of 3.19. The mean deviation of SunCoke Energy is currently at 2.37. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.94
α | Alpha over Dow Jones | -0.2616 | |
β | Beta against Dow Jones | 0.22 | |
σ | Overall volatility | 3.19 | |
Ir | Information ratio | -0.0821 |
Stock Return Volatility
SunCoke Energy historical daily return volatility represents how much of SunCoke Energy stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm reported 3.1871% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial reported 0.9443% 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
| High negative correlations
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Risk-Adjusted Indicators
Strong recent returns in SunCoke Stock do not always mean SunCoke Energy Company is outperforming peers on business quality. Risk-adjusted metrics help compare SunCoke Energy'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| TNP | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| GRNT | 2.01 | 0.35 | 0.10 | -0.66 | 2.88 | 4.26 | 13.80 | |||
| KOS | 5.60 | 1.44 | 0.20 | -1.79 | 6.37 | 13.43 | 38.63 | |||
| SOC | 5.29 | 0.49 | 0.08 | -0.29 | 6.11 | 8.60 | 48.28 | |||
| HPK | 4.33 | 0.72 | 0.12 | -0.55 | 5.00 | 9.62 | 25.29 | |||
| NBR | 2.34 | 0.51 | 0.16 | 0.86 | 2.83 | 5.48 | 14.41 | |||
| TK | 2.01 | 0.45 | 0.19 | 0.47 | 2.17 | 4.11 | 12.50 | |||
| BORR | 2.56 | 0.44 | 0.14 | 0.37 | 2.77 | 6.53 | 16.30 | |||
| CLB | 2.00 | -0.15 | 0.00 | 1.09 | 0.00 | 3.91 | 12.07 | |||
| VTLE | 2.59 | 0.19 | 0.05 | 0.62 | 3.23 | 6.39 | 16.09 |
Risk Metrics, Assumptions & Methodology
Beta for SunCoke Energy 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. SunCoke Energy has a market cap of 552.33 M, P/E of 45.83, ROE of -5.8%.
SunCoke Energy 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: Rifka Kats, Member of Macroaxis Editorial Board
SunCoke Energy Volatility Profile Summary
Recent data suggests that SunCoke Energy is more volatile than Dow Jones Industrial by approximately 3.39x 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 28% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.SunCoke Energy with characteristics aligned to broad market upside participation. This directional read frames the latest price swing through a simple momentum and follow-through lens. It works best as a directional cue rather than as a standalone forecast. an unexpected upward trend with elevated sensitivity to market signals. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View SunCoke Energy probability analysis.
Weak diversification
Across the chosen horizon, SunCoke Energy and Dow Jones show a correlation of 0.47 and fall into the Weak diversification bucket. A 0.47 reading means SunCoke Energy and Dow Jones have partial price overlap, providing moderate risk reduction when paired.
SunCoke Energy Additional Risk Indicators
Risk analysis around SunCoke Energy 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 | -0.07 | |||
| Market Risk Adjusted Performance | -1.19 | |||
| Mean Deviation | 2.39 | |||
| Coefficient Of Variation | -1,261 | |||
| Standard Deviation | 3.18 | |||
| Variance | 10.09 | |||
| Information Ratio | -0.08 |
SunCoke Energy Suggested Diversification Pairs
A paired position built around SunCoke Energy reduces directional market exposure while expressing a relative-value view. This structure emphasizes relative performance differences between paired assets rather than broad market direction.
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The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against SunCoke Energy as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. SunCoke Energy's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, SunCoke Energy's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to SunCoke Energy.