Historical volatility calculator
The real swing of a price from its closes.
Free risk tools
Value at risk calculator
The loss a position should stay under on most days, and the average when it does not.
Free, no sign-up On sale: Desk and Desk + Signals. See the plans
- Free
- No sign-up
- Nothing you type is stored
The position
The value at risk
95% value at risk over a day: $1,657.86 on $100,000.00. About one day in 20 should lose more than that.
- When it is worse
- In those worst 5% the loss averages about $2,079.02 (expected shortfall).
- A usual day
- About 1.01% up or down ($1,007.91), from 16% a year.
- Fat tails
- Real prices crash more often than this bell curve says: at 99% the true loss is often well above the number shown.
Value at risk of the position by holding time and confidence. Your row is marked.
| Over | 90% | 95% | 97.5% | 99% |
|---|---|---|---|---|
| 1 day | $1,291.68 | $1,657.86 | $1,975.46 | $2,344.74 |
| 5 days | $2,888.29 | $3,707.08 | $4,417.26 | $5,242.99 |
| 10 days | $4,084.66 | $5,242.60 | $6,246.95 | $7,414.71 |
| 21 days | $5,919.23 | $7,597.25 | $9,052.69 | $10,744.94 |
Education only, not investment advice. The answer comes from the numbers you typed in, not from your account or the market. Simulated results are hypothetical and have limits: real trading has slippage, gaps, changing results and emotions. Trading leveraged products can lose money quickly, including all of it. Risk warning
Educational only, not financial advice; trading involves risk.
A line, not a floor
Value at risk is the loss a position should stay under on most days: at 95% over one day, about one day in twenty is worse. Banks and funds report it every day because it turns a volatility into money. It says nothing about how bad the bad days get, which is why the expected shortfall, the average loss past the line, sits next to it.
This page uses the normal bell curve, so read it as the least the risk could be: real markets have fat tails and gaps. Measure the volatility with the historical volatility calculator, see a whole mix with the portfolio risk calculator, and test the jump past a stop with the gap risk check.
Not advice. Arithmetic on the numbers you type; volatility changes, and losses can be far larger than the VaR.
Next tools
Portfolio risk calculator
How much a mix of holdings swings.
Gap risk check
What a jump past your stop would cost, and the size that fits.
Pricing
Three ways in. Pick yours.
See all plans · Try one agent free
Baroq never holds your money and never trades for you. Educational only, not financial advice; trading involves risk.