Vol monitor
Annualized realized vol by trailing window, colored by each reading's percentile vs that series' own trailing year (current reading excluded). %ile columns rank the 20d reading — vs the trailing year and vs the full history. Click a column to sort.
| Series | 1d move | 5d | 10d | 20d | 60d | 120d | 1y | 20d %ile (1y) | Δ 20d |
|---|---|---|---|---|---|---|---|---|---|
| Index | |||||||||
| FW 3000 (computed) | +0.3% | 8.3% | 7.3% | 13.4% | 13.5% | 14.3% | 13.1% | 62 | +4.3 |
| Factor portfolios (long) | |||||||||
| Dividend yield | +1.0% | 12.6% | 9.3% | 10.4% | 11.5% | 10.4% | 9.9% | 72 | -2.2 |
| High beta | -1.1% | 34.3% | 29.8% | 47.6% | 50.8% | 43.6% | 36.5% | 82 | -0.6 |
| Low volatility | +0.0% | 7.8% | 5.8% | 9.1% | 10.5% | 9.7% | 8.7% | 68 | -3.5 |
| Momentum | -1.8% | 34.7% | 29.5% | 43.9% | 48.3% | 41.7% | 32.6% | 83 | -4.5 |
| Quality | -0.1% | 10.1% | 8.1% | 14.6% | 16.1% | 15.8% | 14.0% | 69 | +2.6 |
| Size | +1.0% | 9.6% | 12.5% | 16.9% | 16.6% | 18.5% | 19.5% | 23 | +2.2 |
| Value | -0.1% | 10.5% | 8.2% | 11.6% | 11.2% | 11.9% | 12.8% | 30 | +2.8 |
| Factor spreads (Q5−Q1) | |||||||||
| Dividend yield spread | -0.3% | 7.6% | 9.1% | 16.1% | 17.8% | 16.9% | 16.6% | 44 | -1.4 |
| High beta spread | +0.1% | 30.4% | 27.4% | 43.2% | 44.5% | 37.9% | 32.7% | 85 | +1.6 |
| Low volatility spread | -2.1% | 22.0% | 22.1% | 36.3% | 35.6% | 32.4% | 31.4% | 78 | +4.5 |
| Momentum spread | -2.5% | 38.5% | 29.0% | 38.0% | 36.2% | 31.3% | 25.2% | 92 | -1.2 |
| Quality spread | -1.0% | 8.1% | 7.9% | 11.5% | 11.4% | 11.1% | 11.1% | 54 | +0.4 |
| Size spread | +0.3% | 4.5% | 8.5% | 10.1% | 12.6% | 12.2% | 12.4% | 15 | -3.2 |
| Value spread | -1.2% | 15.4% | 15.6% | 27.8% | 28.7% | 25.9% | 24.7% | 77 | -1.5 |
| Sectors | |||||||||
| Basic Materials | +2.0% | 19.8% | 18.9% | 22.0% | 22.9% | 24.0% | 21.5% | 63 | +3.9 |
| Communication Services | +0.5% | 16.2% | 16.3% | 33.8% | 28.4% | 25.8% | 21.8% | 95 | +9.4 |
| Consumer Cyclical | +2.2% | 17.9% | 16.3% | 30.0% | 24.5% | 23.1% | 21.1% | 100 | +12.9 |
| Consumer Defensive | +0.8% | 14.2% | 10.7% | 15.5% | 17.2% | 16.6% | 14.6% | 60 | -2.9 |
| Energy | -0.3% | 16.2% | 26.3% | 23.4% | 22.6% | 22.7% | 20.5% | 82 | +3.1 |
| Financial Services | -0.5% | 9.4% | 7.3% | 11.4% | 13.2% | 14.0% | 14.6% | 16 | -2.1 |
| Healthcare | +3.4% | 26.1% | 20.8% | 18.5% | 19.1% | 17.6% | 15.6% | 89 | -2.4 |
| Industrials | -1.1% | 15.0% | 12.2% | 20.0% | 20.0% | 21.5% | 18.7% | 72 | +3.3 |
| Real Estate | +1.0% | 13.1% | 14.0% | 13.4% | 15.5% | 15.0% | 13.7% | 43 | -1.4 |
| Technology | -0.7% | 17.3% | 16.1% | 28.1% | 30.1% | 27.0% | 23.7% | 85 | +5.9 |
| Utilities | +0.0% | 10.4% | 11.3% | 12.4% | 12.6% | 14.1% | 13.4% | 46 | +2.9 |
| Thematic baskets | |||||||||
| AI Displacement Risk | +3.4% | 40.6% | 30.1% | 44.2% | 45.2% | 39.8% | 35.3% | 76 | -2.7 |
| AI Infrastructure Leaders | -3.6% | 57.5% | 53.3% | 69.2% | 68.7% | 59.5% | 50.0% | 91 | +2.6 |
| AI Software & Platforms | +1.8% | 41.8% | 40.6% | 41.1% | 41.0% | 38.0% | 32.7% | 81 | +8.7 |
| Capital Markets Cycle | +0.1% | 16.5% | 13.9% | 15.9% | 19.8% | 19.5% | 19.5% | 29 | -8.3 |
| Crypto Financialization | +4.6% | 50.3% | 41.6% | 60.4% | 58.1% | 58.0% | 62.1% | 52 | +5.3 |
| Cybersecurity | -2.4% | 45.5% | 37.6% | 35.6% | 43.1% | 41.2% | 35.5% | 58 | -6.5 |
| Defense & Aerospace | -0.6% | 14.8% | 17.4% | 28.4% | 26.0% | 24.6% | 23.9% | 86 | +7.9 |
| Defensives | +0.9% | 12.3% | 9.8% | 13.1% | 17.0% | 14.9% | 12.9% | 72 | -6.7 |
| US Energy Complex | -0.0% | 16.7% | 29.2% | 27.5% | 24.9% | 24.6% | 23.1% | 97 | +7.1 |
| Fortress Balance Sheets | +1.1% | 14.6% | 17.5% | 17.7% | 16.4% | 16.2% | 15.0% | 82 | +1.5 |
| GLP-1 Pressure | +2.3% | 24.6% | 18.9% | 20.7% | 21.9% | 19.4% | 17.3% | 86 | -5.6 |
| Homebuilders | +3.4% | 32.5% | 36.8% | 34.5% | 34.6% | 34.8% | 32.8% | 62 | -2.5 |
| Hospitals & Providers | -0.2% | 9.0% | 14.4% | 20.5% | 22.4% | 20.0% | 20.5% | 62 | -6.8 |
| Housing Chain | +2.9% | 25.8% | 29.9% | 31.9% | 31.8% | 31.3% | 28.3% | 83 | -1.1 |
| Magnificent Seven | +1.3% | 17.2% | 14.5% | 27.9% | 25.8% | 24.5% | 22.0% | 88 | +4.7 |
| Managed Care & Health Insurers | -0.6% | 28.1% | 32.9% | 30.7% | 30.9% | 31.2% | 31.1% | 55 | +0.1 |
| Memory & Storage | -4.2% | 87.5% | 70.8% | 89.6% | 93.2% | 82.4% | 74.5% | 85 | -9.2 |
| Nuclear Renaissance | +2.9% | 42.5% | 41.4% | 50.1% | 49.0% | 50.1% | 50.9% | 48 | +14.8 |
| Optical Interconnect | -5.6% | 104.9% | 94.7% | 103.5% | 90.8% | 86.8% | 71.7% | 100 | +22.7 |
| Payments & Fintech | +1.6% | 34.1% | 25.9% | 26.7% | 27.7% | 26.5% | 26.2% | 56 | -2.6 |
| Power & Grid Buildout | -0.1% | 34.5% | 30.2% | 38.6% | 37.2% | 36.7% | 34.1% | 86 | +7.3 |
| Regional Banks | -2.8% | 21.6% | 17.2% | 16.1% | 19.4% | 20.9% | 22.1% | 13 | -3.1 |
| Reshoring & Industrial Capex | -1.2% | 20.9% | 16.2% | 21.9% | 24.2% | 25.7% | 22.5% | 58 | -0.2 |
| Retail | +1.1% | 14.6% | 14.0% | 19.1% | 18.6% | 18.0% | 16.9% | 73 | +2.0 |
| Space Economy | -2.3% | 25.1% | 34.2% | 44.5% | 52.1% | 52.4% | 50.1% | 45 | +2.7 |
| Travel & Experiences | +0.4% | 14.3% | 16.8% | 21.4% | 23.2% | 26.2% | 24.8% | 29 | +2.2 |
Rolling realized vol
Rolling window, annualized, computed from the daily series embedded in this page. Pick the window (sessions) and range; click legend entries to toggle series. Powered by TradingView Lightweight Charts.
Vol cone & term structure
The full-history distribution of realized vol by window length — bands mark the 5–95th and 25–75th percentile ranges of every overlapping reading, the dashed line the median — with the current term structure drawn on top. A current line hugging the bottom of the cone is a compressed tape; one breaking the 95th band is a stressed one.
Reading this page
- Realized vol (5d … 1y)
- Zero-mean vol of daily log returns over the trailing window, annualized:
RV = √(252 · mean(r²)). No demeaning — short windows would burn a degree of freedom estimating a mean that is noise at the daily scale. Close-to-close only: these are portfolio composites with no intraday tape, so high–low estimators (Parkinson, Yang-Zhang) don't apply. - 1d move
- The last session's move restated in annualized vol units,
|r| · √252— "the tape moved like a 33-vol market today". One day has no standard deviation; this is the honest daily-data equivalent, ranked against the past year of absolute daily moves. - Percentiles & σ
- Each reading vs the trailing 252 daily readings of the same window (current excluded) — the same ruler as the spread monitor. Where a series has ≥ 750 readings (~3 years), tooltips and the %ile (full) column add the full-history rank. Overlapping windows are autocorrelated: read percentiles as "how unusual", never as t-tests.
- EWMA
- RiskMetrics exponentially-weighted vol (λ = 0.94), annualized — reacts in days rather than a full window; shown in tooltips as the fast companion to the flat windows.
- Δ20d and the 5−60 curve
- Δ20d: 20-day vol now minus 20 sessions ago, in vol points — the expansion/compression tape. 5−60: 5-day minus 60-day vol — realized term structure; persistently positive means the short end is above the long end, the realized-vol signature of a stress regime.
- Sources & honesty
- Everything derives from the committed daily return series behind the rest of the site — point-in-time portfolios, no ETF proxies. Spread vol is the vol of an equal-weighted Q5−Q1 return difference, a signal about the factor, not a tradable cost-free strategy. Full spec: methodology §15.