Search Results for: volatility

U.S. Equity Market Total Return Volatility and VIX Currently, the monthly volatility of U.S. equities is the highest on record. Image: BofA Global Investment Strategy

VXO (old VIX) – Volatility Are such levels of volatility unusual? Yes, they are. Image: Fidelity Investments

Volatility (VIX) and the Equity Risk Premium This chart shows that the equity risk premium tends to move with credit spreads. Image: Fidelity Investments

Volatility – Number of Days with >3% S&P 500 Moves over a 15 Trading Day Window The S&P 500’s volatility is similar to the Great Financial Crisis and the Great Depression. Image: Deutsche Bank Asset Allocation

Rates and Equity Volatility (VIX) This chart highlights the significant and sudden spike in rates and equity volatility at 2008/2009 levels. Image: Deutsche Bank Global Research

Volatility – Daily Changes in the S&P 500 Index Market volatility is rising with coronovirus fear. This chart puts daily changes in the S&P 500 Index into perspective.

High Volatility Episodes and S&P 500 Outside of Recessions During high volatility episodes, the S&P 500 has taken four months to recover outside of recessions. Image: Deutsche Bank Asset Allocation

Volatility – Gamma Transition Level and VIX Gamma positioning indicators suggest more volatility ahead. Image: Societe Generale Cross Asset Research

Volatility – Number of S&P 500 Companies Reporting Daily vs. Average Performance Dispersion As the number of earnings results increases, the higher the volatility of stock. Image: BofA US Equity & Quant Strategy

Global FX Volatility In the current environment of low inflation and low interest rates, volatility in foreign exchange markets hits record low. Image: BofA Global Investment Strategy