S&P 500 Options – S&P 500 3325-Strike Put Implied Volatility S&P 500 options reflect the possibility that the U.S. election results may be finalized with a delay. Image: Goldman Sachs Global Investment Research
Volatility – Nasdaq 3-Day Sigma Move Is the selloff over for now? Image: BofA Global Research
Nasdaq Volatility As the chart shows, the volatility of the Nasdaq has been particulary high. Image: Goldman Sachs Global Investment Research
Average Monthly Volatility for U.S. Election Years Since 1928 The U.S. presidential elections have some impact on stock market volatility. Image: BofA US Equity & Quant Strategy
Volatility and U.S. Elections This chart shows how U.S. presidential elections affect volatility when the same party remains in office or not. Image: Goldman Sachs Global Investment Research
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 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
Sector Implied Volatility Spread vs. S&P 500 More volatility to come for health care? Image: Goldman Sachs Global Investment Research
Volatility – VIX Level and S&P 500 67-Day Return The speed of the rally could partly explain why the VIX remains high. Image: Goldman Sachs Global Investment Research
S&P 500 Index vs. S&P 500 Index 30-Day Implied Volatility (VIX) Despite the stock market’s breathtaking rally, volatility remains elevated. Image: Bloomberg