Volatility and Number of 3-Sigma Moves

Volatility and Number of 3-Sigma Moves This year has seen more extreme cross-asset moves than any year since 1998. Image: Morgan Stanley Research

S&P 500 Moves Around Bear Market Bottoms Since 1870

S&P 500 Moves Around Bear Market Bottoms Since 1870 If the March lows is the bottom, then the S&P 500 is well ahead of history in terms of market recovery. Image: Societe Generale Cross Asset Research

Central Bank Rate Movements in 31 Countries

Central Bank Rate Movements in 31 Countries Central bank rate movements in 31 countries haven’t been this much since the Great Financial Crisis. Image: Deutsche Bank Global Research

Volatility Divergence – VIX vs. MOVE

Volatility Divergence – VIX vs. MOVE When MOVE is below the 50th percentile and VIX is above the 80th percentile, the average annualized S&P 500 price performance has been close to +21% compared to just over +7% the rest of the time. Image: Bloomberg

S&P 500 Average Daily Percentage Move: 1928-2020

S&P 500 Average Daily Percentage Move: 1928-2020 The volatility has been unusual over the last five weeks, as the S&P 500’s average absolute daily percentage change has been +/-4.8%. Image: Bespoke Investment Group

S&P 500 Post-Crisis Movement

S&P 500 Post-Crisis Movement This chart compares the coronavirus impact on U.S. equities with past shocks. The impact looks more like the Lehman Brothers collapse. Image: The Conference Board

Correlation Between VIX and MOVE

Correlation Between VIX and MOVE The rolling one-year correlation between VIX and MOVE is at the highest level on record. Image: Arbor Research & Trading LLC