VIX Index and S&P 500 Realized Volatility The spread between the VIX and the S&P 10-day realized volatility, when in the 98th percentile, may signal a potential opportunity for U.S. stocks to rally towards the end of the year. Image: BofA Global Research
Bond Volatility – MOVE Index The MOVE index, indicating the implied volatility of U.S. Treasury options, has recently reached its highest level since January 2024, suggesting possible shifts in broader financial markets. Image: The Daily Shot
Volatility – U.S. Options Expiration The expiration of $4.5tn in options notional could trigger increased market volatility and price movements, driven by heightened trading activity, changes in trader sentiment, and the mechanics in option exercise and settlement. Image: Goldman Sachs Global Investment Research
S&P 500 Volatility The concentration of large-cap stocks has significantly impacted market volatility, with these stocks accounting for a record share of it. Image: Goldman Sachs Global Investment Research
Volatility – VIX and U.S. Election The historical trend of the VIX spiking before U.S. elections and then rapidly declining afterward can be attributed to heightened uncertainty and investor fear in the lead-up to the elections. Image: Morgan Stanley Research
Volatility – S&P 500 Return vs. VIX In the past, the S&P 500 has typically shown strong performance over the next 12 months when the VIX rises above 2 standard deviations. Image: Alpine Macro
Average Monthly Volatility for U.S. Election Years Since 1928 The historical pattern of the VIX rising before U.S. elections and then rapidly plunging afterward is attributed to increased uncertainty and investor fear leading up to the elections. Image: BofA US Equity & Quant Strategy
Treasury Volatility – MOVE Index The decrease in U.S. rates volatility, as indicated by the MOVE index, could be viewed as a positive development for both the bond market and the overall economy. Image: Deutsche Bank Global Asset Allocation
Gold Annualized Returns and Volatility While gold has had periods of significant growth and can serve as a hedge against inflation, historical data suggests that equities have generally outperformed gold over the long term. Image: J.P. Morgan
MOVE – U.S. Treasury Volatility Index The cooling of U.S. rates volatility, as measured by the MOVE index, can be seen as a positive development for the bond market and the broader economy. Image: BofA Predictive Analytics