U.S. 2s10s Yield Curve Slope and U.S. 10-Year Rates (3-Month Implied Volatility) U.S. 10-year rates volatility is higher with stepper U.S. 2s10s yield curve. Image: Goldman Sachs Global Investment Research
Volatility – S&P 500 and 12-Month Count of Daily Changes Exceeding +/- 1% The current stock market looks a lot like the dot-com bubble, as it shows the same pattern of rising stocks and volatility. Image: Topdown Charts
High Beta Relative to Low Volatility and Growth vs. Value The 2020 peak for Growth vs. Value does not equal the 2000 peak. Image: BofA Global Research Click the Image to Enlarge
Interest Rate Volatility – U.S. 10-Year Treasury Yields Since the start of the COVID-19 crisis, daily percentage changes in the 10-year Treasury yield remain above historical norms. Image: LPL Financial LLC
U.S. Treasury Volatility Since 2014, U.S. Treasury volatility tends to peak at similar levels. Image: Arbor Research & Trading LLC
Volatility – VIX and Days Above 20 A prolonged VIX above 20 is typical of recessions. Patience is usually the key to successful investing. Image: Morgan Stanley Wealth Management
Volatility Index / S&P 500 Index 30-Day Realized Volatility The spread between VIX and the S&P 500 Index’s 30-day realized volatility jumped to the widest level since 1990. Image: Bloomberg
VIX – Volatility Index Seasonality of Spikes from Prior Month Low into Current Month Peak Historically, February tends to see increased risk of VIX spikes. Image: BofA Global Research
Bitcoin Volatility vs. Other Assets (3M Rolling Volatility – Daily Returns) Bitcoin continues to be a highly volatile asset compared to other assets. Image: Goldman Sachs Global Investment Research
VIX and S&P 500 1-Month Realized Volatility Implied volatility remains elevated despite the equities rally. Image: Goldman Sachs Global Investment Research