QBE’s Historical Volatility (HV) rose in the last two months as share rallied from early Jan to yesterday. The normal pattern is that of an INVERSE relationship.
4 Jun 12 to 8 Aug 12: share rose 22%, HV fell 13%
7 Jan 2013 to 25 Feb 2013: share rose 10%, HV ROSE 38% (!)
1 Did this foreshadow today’s plunge of around 4% (at the time of writing) post results?
2 With the HV now near peak (yesterday was 35, let peak in Jun 2012 was 36), if HV were to come OFF its peak, would this then foreshadow a rally in the share price?