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COMMANDS Global: GP Symbol: IBM FA
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Volatility Analysis

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0.12 -0.06 (-32.58%) 09/16/2026
Esports Entertainment Group, Inc. (GMBL)
Showing 1 year of volatilty data. To view all data, Upgrade to PRO plan!
Summary
  • GMBL is realising 330.3% annualised volatility over the last 21 sessions. There is not enough history behind a 21-day window to rank that against its past — shorten the volatility window or widen the lookback for a percentile worth reading.
  • Volatility has risen from 302.5% to 330.3% over the past month (+9% relative), so the near-term trend in risk is against short-volatility positioning.
  • Close-to-close vol (330.3%) runs well above the Parkinson range estimate (158.7%). Because Parkinson only sees the intraday high/low, that gap is overnight jump risk — the move happens between the closing bell and the next open.
  • 90% of total variance is delivered overnight (502.1% annualised) against 167.2% during the session — this is a gap-risk name, and an intraday stop will not protect the position.
  • On the empirical distribution, a 1-day 95% VaR is -39.31% with an expected shortfall beyond it of -72.80%. Excess kurtosis of 10.7 and 2.22% of days beyond 3σ (a normal distribution would give 0.27%) mean option-pricing models that assume normality will understate the tail.
  • Downside volatility (807.7%) exceeds upside volatility (330.7%): declines are faster than the advances, which is what a protective put is actually paying for.
  • Worst peak-to-trough drawdown over the window was -80.3% (trough 2026-07-28), with an Ulcer Index of 72.45 capturing how long it stayed underwater.
Realized Vol · 21d
330.3%
Unclassified
 too few windows to rank 
Context · 11 months lookback
—Percentile
—Z-score
258.3%Median vol
+9%1-mo change
—Vol of vol
402.5%EWMA λ=.94
Historical Volatility Close-to-Close · 21-day rolling · annualised ×√252
Volatility Cone Close-to-Close · 11 months of overlapping windows
Every realized-vol reading the stock has produced at each horizon, as a percentile envelope. The marker is today. A dot riding the top of the cone says vol is stretched for that horizon — which is the comparison that matters, since short windows are naturally noisier than long ones.
HorizonMin10th25thMedian75th90thMaxCurrentPercentileObs
1 Week 5d10.855.1188.5287.9399.2511.91,107.9613.994*41
2 Weeks 10d37.485.1212.2273.6325.2368.7773.7474.696*36
1 Month 21d155.4173.4217.8258.3293.9310.0555.0330.394*25
* Percentile is based on fewer than 60 overlapping windows at that horizon — not enough independent history to rank against. Widen the cone lookback to firm it up.
Realized Term Structure
Current realized vol at each horizon against the median for that same horizon. When the short end sits above the long end the curve is inverted — the market is pricing a near-term event, and the spread has historically closed by the short end falling rather than the long end rising.
Estimator Comparison
Five estimators of the same quantity. They disagree in informative ways: Parkinson and Garman-Klass read the intraday range and are blind to overnight gaps; Rogers-Satchell is drift-independent, so it does not inflate on a strong trend; Yang-Zhang combines overnight, open-to-close and Rogers-Satchell and is the one to quote against implied vol.
Estimator1 Month3 Months6 Months1 YearReads
Close-to-Close330.3442.2442.2442.2total risk, incl. gaps
Parkinson158.7168.9168.9168.9intraday range only
Garman-Klass165.8161.0161.0161.0range + open/close
Rogers-Satchell215.9194.5194.5194.5drift-independent
Yang-Zhang407.3532.7532.7532.7gaps + range + drift
Conditional Volatility Models
A GARCH(1,1) fit needs at least one year of returns. Widen the date range to enable it.
Tail & Drawdown Risk
VaR and expected shortfall are historical — read straight off the empirical return distribution, with no normality assumption. The parametric figures next to them assume a Gaussian; the difference between the two is the size of the tail your model would have missed.
442.15%Annualised vol
807.70%Downside vol
330.71%Upside vol
-39.31%VaR 95% (hist)
-94.72%VaR 99% (hist)
-72.80%CVaR 95% (ES)
-133.16%CVaR 99% (ES)
-45.66%VaR 95% (normal)
-64.57%VaR 99% (normal)
-2.371Skew
10.71Excess kurtosis
2.22%Days beyond 2σ
2.22%Days beyond 3σ
-80.33%Max drawdown
72.45Ulcer Index
-99.66%CAGR
-0.23Sharpe (rf=0)
-0.12Sortino (rf=0)
3σ days occurred 8.2× more often than a normal distribution predicts (2.22% vs 0.27%). Any position sized off a Gaussian assumption is under-reserved for this name.
Overnight vs Intraday
Variance decomposed into the gap between one close and the next open, versus the regular session.
90%
10%
Overnight gap · 502.1% annualisedIntraday session · 167.2% annualised
Volatility Change by Month month-over-month % change in 21-day realized vol
Not price returns — this is how much the volatility itself moved each month. Persistent positive months flag a season when risk tends to build in this name.
YearJanFebMarAprMayJunJulAugSepOctNovDecMinMaxAvg
2026       -68.890.4   -68.890.410.8
Avg change———————-68.8+90.4———-68.890.410.8
% months vol rose———————0100———

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