Volatility Analysis
- CASXF is realising 132.9% 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.
- The Parkinson range estimate (275.9%) exceeds close-to-close vol (132.9%): the stock travels a wide intraday range but keeps closing near where it opened — mean-reverting chop rather than trend.
- 60% of total variance is delivered overnight (379.3% annualised) against 311.8% 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 -14.98% with an expected shortfall beyond it of -20.98%.
- Worst peak-to-trough drawdown over the window was -28.3% (trough 2026-07-27), with an Ulcer Index of 14.75 capturing how long it stayed underwater.
| Horizon | Min | 10th | 25th | Median | 75th | 90th | Max | Current | Percentile | Obs |
|---|---|---|---|---|---|---|---|---|---|---|
| 1 Week 5d | 45.0 | 87.9 | 119.8 | 163.6 | 192.3 | 217.0 | 228.0 | 70.8 | 9* | 27 |
| 2 Weeks 10d | 105.1 | 121.2 | 145.3 | 157.5 | 172.5 | 196.2 | 199.2 | 105.1 | 2* | 22 |
| 1 Month 21d | 132.9 | 138.1 | 148.4 | 160.8 | 162.9 | 165.4 | 165.7 | 132.9 | 5* | 11 |
| Estimator | 1 Month | 3 Months | 6 Months | 1 Year | Reads |
|---|---|---|---|---|---|
| Close-to-Close | 132.9 | 142.1 | 142.1 | 142.1 | total risk, incl. gaps |
| Parkinson | 275.9 | 345.8 | 345.8 | 345.8 | intraday range only |
| Garman-Klass | 277.5 | 359.4 | 359.4 | 359.4 | range + open/close |
| Rogers-Satchell | 280.0 | 371.0 | 371.0 | 371.0 | drift-independent |
| Yang-Zhang | 426.9 | 524.4 | 524.4 | 524.4 | gaps + range + drift |
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Min | Max | Avg |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -13.2 | -3.8 | -13.2 | -3.8 | -8.5 | ||||||||||
| Avg change | — | — | — | — | — | — | — | -13.2 | -3.8 | — | — | — | -13.2 | -3.8 | -8.5 |
| % months vol rose | — | — | — | — | — | — | — | 0 | 0 | — | — | — | |||
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