Vanguard U.S. Multifactor ETF (VFMF) Historical Volatility

Tracking VFMF historical volatility helps you see how much Vanguard U.S. Multifactor ETF's stock price has actually moved over past periods, giving you a baseline to judge whether current option premiums are fair, cheap, or expensive. While implied volatility tells you what the market expects, Vanguard U.S. Multifactor ETF's HV tells you what really happened. Use our scanner to monitor VFMF 30 day historical volatility alongside longer lookback windows and spot the moments when realized and implied diverge.

Historical volatility is the annualized standard deviation of an underlying's past returns, typically measured over rolling windows like 10, 20, 30, or 60 days. The VFMF 30 day historical volatility is one of the most widely watched readings because it balances responsiveness with stability. Comparing Vanguard U.S. Multifactor ETF's HV to its implied volatility reveals the volatility risk premium — when IV sits well above HV, option sellers tend to have an edge; when HV runs hot relative to IV, buyers may be underpaying for movement.

Advisor uses a rules-based quantitative model to evaluate U.S. common stocks and construct a U.S. equity portfolio that seeks to achieve exposure to multiple factors.After applying an initial screen to remove the most volatile stocks in the universe, stocks are then selected according to their equally weighted ranking across three targeted factors; momentum- stocks that exhibit strong recent performance, quality- stocks that exhibit strong fundamentals, and value- stocks with low prices relative to fundamentals.Portfolio includes a diverse mix of stocks representing many different market capitalizations (large, mid, and small), market sectors, and industry groups, and holds hundreds of names to diversify idiosyncratic stock risk.Portfolio is rebalanced as needed to maintain consistent exposure to the targeted factors.Seeks long-term capital appreciation.Typically, at least 80% of the fund’s assets will be invested in securities issued by U.S.

companies.Note: The Value factor is measured by book value/price, forward earnings/price, operating cash flows/price (for non-financials only). The Momentum factor is measured by total returns from month T-12 to month T-1, total returns from month T-7 to month T-1, and the intercept from a 1-year regression of stock returns on their regional benchmark. For financials, the Quality factor is measured by return on equity and share issuance. For non-financials the Quality factor is measured by return on equity, gross profitability, change in net operating assets, and leverage. The volatility screen removes the 20% most volatile names within each market cap grouping and equally across sectors.

Sizing a long premium trade, modeling a covered call, or hunting volatility arbitrage all come back to one question: how much has the stock actually moved? Our scanner puts Vanguard U.S. Multifactor ETF's historical volatility side-by-side with implied readings across every lookback window, so you can see exactly where VFMF HV is running hot, cold, or in line. Make the VFMF 30 day historical volatility — and every other window — work for your edge instead of against it.