The March 31, 2018 Quarterly Stock Price Volatility Survey is now available. This issue represents our forty-third consecutive quarterly Survey of U.S. community banks and has been widely recognized as a trusted source for bank CFO's and CPA's since 2007.

Each Quarterly Survey contains approximately 180 pages of narrative and supplemental data covering approximately 800 exchange traded financial institutions. The surveys have been consistently and objectively prepared each quarter based on the following standardized methodology:

  • Large money center or super regional institutions have been excluded from the Surveys which can significantly influence Survey results.
  • Due to the anticipated use of the Survey information by community financial institutions, and the desire to "level the playing field" for small institutions, no asset size or market capitalization weighting was used to calculate the Survey averages.
  • Each Survey contains coverage of most U.S. States and Territories.
  • Volatility calculations are derived from a historical data bank of daily stock prices updated through each Survey cut-off date.
  • Financial institutions included in the Surveys must have had readily accessible historical "adjusted" stock prices - either traded on a recognized exchange or consistently listed over the counter.
  • A six year historical data span is included in each Survey. Many of the sampled institutions have historical stock price data covering the full six years while others have a shorter period due to recent market listings (IPO's) or de novo status.
  • All volatility results have been included in the Surveys provide the reader with the complete list of all institutions with the corresponding financial information for determination of the relevancy to their own circumstances.
  • The average data span for all institutions sampled is in excess of five years and for volatility formula calculations daily, weekly and monthly stock price information have been provided. The exhibits attached to the Surveys indicate the span of historical data available for each institution.
  • Volatility data in provided in three distinct data samples: Daily, Weekly and Monthly to simulate you institution's trading volume and activity.

Each survey contains a twelve page Executive Summary discussing the concept of Stock Price Volatility and the nuances for private banks, thinly traded stocks and de novo institutions. 

For a complementary copy of the most recent Executive Summary, please click here.

To purchase a complete survey (approximately 180 pages) with all supporting bank data, please use order form at the top of this page.

March 31, 2018  Community Bank Volatility Survey

Black Scholes Volatility Peer Data for Bank Stocks

"Volatility is a measure of the amount by which a financial variable,
such as a share price, has fluctuated (historical volatility) or is expected to  fluctuate (expected volatility) during a period." ~ FASB

Click here to download a Complimentary 14 page Executive Summary of our recent Community Bank Volatility Survey.

"I am thrilled that I discovered Volatility Informatics' Community Bank studies. Your data provides the ability to easily create community bank peer groups to document our Black Scholes Expected Volatility assumption since we do not have enough trading history of our own. It is a terrific source and much better than our previous methodology."

- Chief Financial Officer, denovo community bank, California

"We are an established community bank with low stock trading trading volume. Volatility Informatics' Community Bank Studies provide us with objective data to test and augment our own stock price volatility calculations. In these turbulent times, it is a great tool to see other banks' Stock Price Volatilies."

- Chief Financial Officer, established community bank, Florida

"Volatility Informatics has proven to be an objective source for our firm in validating our clients' Black Scholes stock price volatility assumptions; and a great educational tool for our staff and clients."

- Audit Partner, southeastern CPA firm

What Our Customers Say About Volatility Informatics

Complimentary Executive Summary

Annual 4 Pack Quarterly Surveys
Quarterly Surveys

Order Quarterly Community Bank Stock Price Volatility Surveys 

Order Annual Sets of Four Quarterly Community Bank Stock Price Volatility Surveys

Data Informatics, LLC

Expected stock price volatility is just one of six Black-Scholes model assumptions used for FAS 123R / ASC 718 Equity Grant Compensation Cost Calculations. But it is one of the more important and subjective model assumptions.

Each financial institution is required to analyze historical stock price data, or peer data - coupled with a reasonableness evaluation which considers whether their historical trends will continue for a future period covering the expected life of any new option grant.

Therefore, it is important, not to merely use an institution's historical volatility as the Expected Volatility. Other factors should be considered which may lead to a different conclusion regarding the future stock price performance.

FASB encourages companies to evaluate their historical stock price data and "other factors" to arrive at an expected stock price volatility. However, FASB states "this statement does not specify a method of estimating expected volatility; rather it provides a list of factors which should be considered in estimating expected volatility. An entity's estimate of expected volatility should be reasonable and supportable."

As part of the subjective process, even public companies might wish to examine our peer volatility information to obtain further confirmation of their expected volatility assumptions.