Average Probability S&P 500 Volatility Regime
Average Probability S&P 500 Volatility Regime The probability of a high volatility regime has fallen sharply and that of low volality is high. Image: Goldman Sachs Global Investment Research
Implied Volatility (VIX) and Realized S&P 500 Volatility (1-Month)
Implied Volatility (VIX) and Realized S&P 500 Volatility (1-Month) According to Goldman Sachs, the volatility risk premium will return toward 2021’s highs in the coming weeks. Image: Goldman Sachs Global Investment Research
S&P 500 Volatility by Month
S&P 500 Volatility by Month Realised volatility is declining, as investors become more confident that the business cycle has moved into the recovery phase. Image: Morgan Stanley Research
S&P 500 Volatility History
S&P 500 Volatility History The stock market crash of 1929, the Black Monday of 1987, the global financial crisis in 2008, and the COVID-19 crisis were the most extreme events. Image: Goldman Sachs Global Investment Research
S&P 500 Volatility by Decade
S&P 500 Volatility by Decade Volatility ended this decade at a lower level than the previous decade. Image: Reuters
S&P 500 Volatility in 2020
S&P 500 Volatility in 2020 Goldman Sachs economic model suggests volatility of 14.7 on average next year. Image: Goldman Sachs Global Investment Research
U.S. Nominal GDP vs. S&P 500 Volatility
U.S. Nominal GDP vs. S&P 500 Volatility This chart shows that the S&P 500 volatility remains high in a context of slower macroeconomic cycles. Image: Goldman Sachs Global Investment Research
“Real Fed Rates Are the Most Accurate Predictor of Future S&P 500 Volatility,” Says SocGen
“Real Fed Rates Are the Most Accurate Predictor of Future S&P 500 Volatility,” Says SocGen SocGen says it is the most accurate predictor of S&P 500’s volatility over the last 50 years. Should investors be nervous about rising real interest rates? Yes, higher real interest rates mean higher borrowing costs. Real Fed funds rate is…
Volatility – S&P 500 3-Month Put Skew
Volatility – S&P 500 3-Month Put Skew The S&P 500 3-month put skew is at historical highs. Could this predict a fall in the U.S. stock market? Image: Goldman Sachs Global Investment Research
VIX’s 3-Month Rolling Median Deviation from Its Best-Fit Regression with S&P 500 Realized Volatility
VIX’s 3-Month Rolling Median Deviation from Its Best-Fit Regression with S&P 500 Realized Volatility VIX remains high compared to S&P 500 realized volatility. Image: Goldman Sachs Global Investment Research