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I think you* have unreasonable expectations for precision in valuation. 20% is not a large fluctuation in the context of the unlimited future of a company. Something truly unexpected would make an order of magnitude difference.

*but you're not alone.



How is 20% not a large fluctuation? That doesn't make sense. If you want absolute numbers it's $130 Billions. Almost worth 4 Twitters.


Without getting into any theory about how much stocks should vary, if you choose a bunch of random stocks and track them for a few months, I think you would find out that 20% is not a lot.

Stock prices should come with uncertainty bars, like scientific quantities, but there is of course no standard way to calculate and denote that.


FB Options expiring this Friday had an implied volatility of about 100% before close of day.

A 20% drop in 2 trading days has around a 1/700 chance of happening under a Black-Scholes model.

So yes, this does happen in the market, but it's a reasonably rare event.

(As another data point on how rare this was, $190 puts were being sold for $0.3/share. Those are now worth $17, a 50x return)

Sources:

https://finance.yahoo.com/quote/FB/options?p=FB

https://www.hoadley.net/options/barrierprobs.aspx


A 1/700 chance per day means that it happens every two years or so, right?


Two years of days where implied volatility is 100%. That is not an everyday level of implied volatility.

A single day move of twenty percent is rare even in small caps. Facebook moving that much means the market did not except even the risk of something this big.

For comparison when Nissan announced a recall of over a million cars their stock moved less than three percent. Single day moves are rarely so large, and almost never this large for a single company.


Of course they have uncertainty bars. They are called stock options.


That's not what I mean. Options tell you something about what people expect to happen to prices in a given timeframe, but that's not the same as the uncertainty in the underlying value. For example, say I have an early stage biotech company that's losing money. The value is somewhere between zero (if they go out of business before becoming profitable) to a fairly large number if everything goes perfectly. Options have an expiration date, and probably the longest dated ones on a lot of stocks are under 2 years. That's a pretty short time period. I just looked at an example, and the at-the-money calls and puts were about 40% of the price of the stock with expiration around 1.5 years out. That's not at all where I would put an uncertainty range, because at any time the stock can suddenly reflect prospects beyond 1.5 years in the future.


Options are one of the best tools we have to price uncertainty in the value of publicly traded companies. The option prices allow you, using Black Scholes, to calculate an implied volatility that can be used quite similarly to the error bars on a measurement.

The EMH would say that a company's stock price accurately reflects all current knowledge about a stock's underlying value. So from the point of view of an investor in publicly traded companies, a stock's price and its underlying value are the same thing.

Options have an expiration date because as the further you go out the more uncertain things are, and the harder it becomes to make a market in options in a way that (a) won't result in a high chance of losses and (b) will have someone actually willing to buy them. That's why you don't see 10, 20 or 50 year options.

That doesn't hurt their value for pricing uncertainty because as options expire, new ones are minted. Therefore, you can always use them to price the uncertainty of the price to the next quarter, the next 6 months or the next year.


Black Scholes is a terrible model though. Just ask LTCM what they think of Bob and Myron's toy.

Put another way, "don't get high on your own supply."


They do use that - beta (measure of volatility of a stock relative to the market)


That 20% drop brought its stock value back to where it was a year ago, which was an all-time high for it then. Investors that have held it for longer than a year can still sell it at a profit.


But no one is talking about investors holding stocks for more than a year in this comment chain. That's tangential to this comment chain, sorry.

And to your point, investors could have sold for over 25% of profit as well if they had sold it earlier today. So I still stand by saying that this is huge change. Besides, this thread is not about long term, just invest in index funds so I just fail to see the point.


The comment you responded to specifically says "in the context of the unlimited future of the company" which I took to be much longer than a year.


I was coming from the perspective that there is really no such thing as a short term investor, because when you sell, you are dependent on what people think the long term prospects of the stock are.


Okay sorry, I may have mixed things up.




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