VIX’s 3-Month Rolling Median Deviation from Its Best-Fit Regression with S&P 500 Realized Volatility VIX remains high compared to S&P 500 realized volatility. Image: Goldman Sachs Global Investment Research
S&P 500 3-Month Implied Volatility and U.S. 10-Year 3-Month Implied Volatility The volatility gap between U.S. equity and U.S. rates has now closed. Image: Goldman Sachs Global Investment Research
Seasonality – Average Daily Path for S&P 500 since 1928 and Volatility Can investors expect a summer rally for U.S. equities? Image: Deutsche Bank
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
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
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
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
VIX (Volatility Index) vs. S&P 500 Valuation The S&P 500’s valuation tends to be higher when the VIX declines sharply. Image: Jeroen Blokland
S&P 500 3-Month Implied Volatility Change After U.S. Elections Volatility tends to decline after the U.S. elections. Image: Goldman Sachs Global Investment Research