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
S&P 500 – Return vs. Volatility Despite above average volatility, the coronavirus pandemic drove strong market gains in 2020. Image: Fidelity Investments
Volatility – Daily S&P 500 Closing Change > 1% or < -1% The S&P 500 Total Return has gained 18.40% in 2020, despite above average volatility. Image: Ken Fisher, Fisher Investments
Volatility – S&P 500 Spot Price and VIX Index The VIX remains elevated, despite the equities rally. Image: Goldman Sachs Global Investment Research
S&P 500 Annual Realized Volatility Since 1946 2020 has been one of the most volatile year for the S&P 500 since 1946. Image: Goldman Sachs Global Investment Research
Historical Probability of S&P 500 6M Realised Volatility Above 18% and ISM Historically, high-volatility regimes are unlikely with high levels of ISM. Image: Goldman Sachs Global Investment Research
Volatility Divergence – VIX and MOVE The volatility divergence between VIX and MOVE remains elevated. Image: Gavekal, Macrobond
Value Stocks – ISM Manufacturing New Orders Index vs. S&P 500 High Beta Index/S&P 500 Low Volatility Index Value stocks should benefit from an economic rebound, as the ISM Manufacturing New Orders Index is at a 17-year high. Image: Morgan Stanley Wealth Management