Wow. The average S&P500 stock has been on average 4.5x as volatile as the broader index!
Chart: Goldman Sachs Source: Markets & Mayhem
History shows an average 25% increase in volatility from July-Nov of election years...
Mike Zaccardi, CFA, CMT, BofA
Low-volatility regimes can last longer than you think.
Source: Mark Ungewitter
The return of volatility
Source: Bloomberg
The death of volatility? VIX, VXN and VXTLT are all printing new recent lows, hitting levels not seen in years.
Source: Bloomberg, The Market Ear
NO FEAR... CBOE Volatility Index $VIX closed at its lowest level since January 23!
Source: barchart
$VVIX just made its lowest close in about 8 years
What is the Cboe VVIX Index? Volatility is often called a new asset class, and every asset class deserves its own volatility index. The Cboe VVIX IndexSM represents the expected volatility of the VIX®. VVIX derives the expected 30-day volatility of VIX by applying the VIX algorithm to VIX options. Source: Swordfishvegetable
As shown by Jeroen Blokland >>> The Ishares 20+ Year Treasury Bond ETF is down 48% since April 2020.
This means investors have realized a negative return of 15% annually on long-duration bonds over the last four years. Moreover, this 'return' was realized with structurally higher volatility and, on average, a positive correlation with stocks. It also means the market for long-duration bonds has to double(!) to erase losses. Source: Jeroen Blokland
