Vol monitor
Annualized realized vol by window, colored by percentile vs the series' own trailing year. Click a column to sort.
| Series | 1d return | 5d | 10d | 20d | 60d | 120d | 1y | 20d %ile (1y) | Δ 20d |
|---|---|---|---|---|---|---|---|---|---|
| Index | |||||||||
| FW 3000 (computed) | +0.9% | 10.0% | 11.1% | 9.8% | 11.6% | 13.8% | 13.1% | 20 | -4.0 |
| Factor portfolios (long) | |||||||||
| Dividend yield | +0.5% | 9.5% | 7.6% | 8.7% | 11.2% | 10.2% | 9.9% | 25 | -0.5 |
| High beta | +1.6% | 28.3% | 29.3% | 29.6% | 44.2% | 43.4% | 36.7% | 35 | -18.2 |
| Low volatility | +0.5% | 8.7% | 7.5% | 9.3% | 10.8% | 9.7% | 8.9% | 75 | +0.6 |
| Momentum | +1.3% | 23.1% | 23.0% | 25.7% | 41.9% | 41.2% | 32.9% | 40 | -17.9 |
| Quality | +1.1% | 10.1% | 10.7% | 9.5% | 13.2% | 15.3% | 14.0% | 11 | -5.6 |
| Size | +0.5% | 16.4% | 16.3% | 15.1% | 15.7% | 17.7% | 19.3% | 16 | -2.7 |
| Value | +0.6% | 12.3% | 12.1% | 11.0% | 10.9% | 11.7% | 12.8% | 26 | -0.1 |
| Factor spreads (Q5−Q1) | |||||||||
| Dividend yield spread | -0.6% | 12.1% | 14.0% | 13.9% | 16.4% | 17.2% | 16.8% | 24 | -2.9 |
| High beta spread | +1.2% | 25.4% | 30.5% | 31.4% | 39.7% | 38.6% | 33.1% | 58 | -11.8 |
| Low volatility spread | -0.6% | 21.7% | 24.2% | 26.9% | 32.1% | 32.7% | 31.6% | 27 | -10.2 |
| Momentum spread | +0.0% | 18.8% | 19.8% | 23.6% | 34.2% | 30.8% | 25.2% | 52 | -13.9 |
| Quality spread | +0.3% | 9.3% | 9.2% | 9.5% | 10.5% | 11.1% | 11.1% | 28 | -2.1 |
| Size spread | -0.5% | 9.2% | 9.8% | 9.7% | 11.7% | 11.8% | 12.2% | 12 | -1.2 |
| Value spread | +0.2% | 17.6% | 20.5% | 19.1% | 26.9% | 26.2% | 24.8% | 15 | -10.4 |
| Sectors | |||||||||
| Basic Materials | +0.4% | 18.2% | 18.6% | 18.8% | 19.8% | 22.6% | 21.6% | 30 | -3.1 |
| Communication Services | +1.4% | 12.5% | 17.2% | 15.2% | 27.3% | 25.8% | 21.6% | 17 | -19.5 |
| Consumer Cyclical | +1.1% | 16.2% | 18.7% | 18.0% | 23.4% | 22.7% | 21.0% | 36 | -11.4 |
| Consumer Defensive | +0.6% | 10.7% | 8.2% | 15.7% | 17.2% | 16.2% | 14.8% | 58 | +0.6 |
| Energy | +0.2% | 10.7% | 14.2% | 14.1% | 19.2% | 21.9% | 20.1% | 3 | -8.6 |
| Financial Services | +0.6% | 12.5% | 14.4% | 12.8% | 12.5% | 13.7% | 14.7% | 32 | +1.5 |
| Healthcare | -0.1% | 18.4% | 14.5% | 19.2% | 18.5% | 17.4% | 15.9% | 91 | +4.7 |
| Industrials | +1.5% | 21.2% | 22.8% | 19.8% | 19.5% | 21.9% | 19.6% | 67 | +0.1 |
| Real Estate | +0.7% | 11.8% | 11.0% | 10.3% | 14.0% | 14.2% | 13.5% | 14 | -2.6 |
| Technology | +1.2% | 11.2% | 14.3% | 18.7% | 24.7% | 26.9% | 23.9% | 20 | -9.7 |
| Utilities | -0.2% | 11.7% | 11.7% | 12.1% | 12.1% | 13.0% | 12.9% | 42 | +0.4 |
| Thematic baskets | |||||||||
| AI Displacement Risk | +2.4% | 46.1% | 35.6% | 32.9% | 43.0% | 40.7% | 35.7% | 50 | -8.3 |
| AI Infrastructure Leaders | +2.5% | 47.1% | 41.5% | 43.9% | 61.7% | 58.8% | 50.1% | 47 | -23.1 |
| AI Software & Platforms | +0.9% | 27.0% | 28.1% | 32.2% | 35.6% | 39.0% | 33.2% | 50 | -9.9 |
| Capital Markets Cycle | +0.0% | 16.1% | 20.0% | 17.2% | 19.6% | 19.0% | 19.8% | 35 | +0.4 |
| Commodity Producers | -0.7% | 15.3% | 15.7% | 18.6% | 19.0% | 20.2% | 22.1% | 31 | -3.3 |
| Crypto Financialization | +3.0% | 38.5% | 77.4% | 68.5% | 59.0% | 58.6% | 62.9% | 83 | +8.0 |
| Cybersecurity | -1.4% | 17.9% | 36.6% | 49.1% | 42.0% | 44.6% | 37.4% | 83 | +15.0 |
| Defense & Aerospace | +0.3% | 15.3% | 18.0% | 21.5% | 24.7% | 24.8% | 24.3% | 32 | -6.4 |
| Defensives | +0.1% | 10.8% | 9.5% | 11.7% | 16.0% | 14.6% | 13.0% | 47 | -1.4 |
| US Energy Complex | +0.0% | 11.0% | 13.3% | 14.8% | 21.6% | 24.0% | 22.7% | 0 | -12.6 |
| Fortress Balance Sheets | +0.5% | 17.5% | 15.7% | 13.6% | 16.3% | 16.3% | 15.2% | 38 | -4.9 |
| GLP-1 Pressure | -0.0% | 14.1% | 13.0% | 17.1% | 21.7% | 18.8% | 17.2% | 58 | -2.5 |
| Homebuilders | +1.7% | 36.4% | 30.5% | 29.4% | 34.1% | 34.6% | 32.5% | 27 | -4.5 |
| Hospitals & Providers | +0.6% | 15.6% | 14.1% | 13.3% | 21.8% | 19.8% | 20.3% | 3 | -7.9 |
| Housing Chain | +1.3% | 28.9% | 26.6% | 24.9% | 30.8% | 30.9% | 27.9% | 27 | -7.0 |
| Magnificent Seven | +1.0% | 12.6% | 16.1% | 15.7% | 24.0% | 24.1% | 21.8% | 14 | -12.2 |
| Managed Care & Health Insurers | +0.3% | 16.0% | 17.6% | 20.5% | 26.7% | 30.2% | 31.2% | 8 | -9.5 |
| Memory & Storage | -1.8% | 54.4% | 41.5% | 54.9% | 84.1% | 80.0% | 74.5% | 8 | -33.9 |
| Nuclear Renaissance | -3.4% | 50.8% | 44.8% | 44.3% | 44.3% | 50.1% | 51.2% | 22 | -3.3 |
| Optical Interconnect | +2.3% | 66.6% | 58.2% | 71.4% | 83.9% | 81.7% | 72.2% | 55 | -24.7 |
| Payments & Fintech | +1.4% | 27.7% | 28.0% | 23.8% | 26.6% | 26.7% | 26.4% | 37 | -2.6 |
| Power & Grid Buildout | +0.3% | 30.8% | 29.1% | 29.1% | 33.8% | 35.9% | 34.3% | 20 | -6.5 |
| Regional Banks | +0.3% | 9.8% | 17.0% | 16.8% | 16.9% | 19.2% | 21.9% | 19 | +3.2 |
| Reshoring & Industrial Capex | +1.5% | 18.6% | 19.5% | 19.9% | 22.1% | 25.0% | 22.6% | 34 | -1.0 |
| Retail | +1.0% | 21.7% | 16.1% | 21.3% | 20.1% | 19.2% | 17.5% | 96 | +3.3 |
| 60/40 SMH/XLE | +1.0% | 18.6% | 18.0% | 17.8% | 26.1% | 26.9% | 24.0% | 14 | -8.8 |
| Space Economy | +0.2% | 28.4% | 27.8% | 30.3% | 39.7% | 51.9% | 49.9% | 3 | -14.1 |
| Travel & Experiences | +0.9% | 19.9% | 24.1% | 21.5% | 21.3% | 25.4% | 24.9% | 35 | +0.1 |
Rolling realized vol
Rolling realized vol, annualized. Pick a vol window and a period; click a legend entry to toggle it.
Vol cone & term structure
Today's vol by window against its full history: bands are the 5–95th and 25–75th percentiles, the dashed line the median, the solid line today.
Reading this page
- Realized vol (5d … 1y)
- Zero-mean vol of daily log returns over the window, annualized:
RV = √(252 · mean(r²)). Close-to-close only. - 1d return
- The signed daily simple return. Color and sorting rank its absolute magnitude against the past year. The tooltip gives the magnitude in annualized units,
|log(1 + return)| · √252. - Percentiles & σ
- Each reading vs the trailing 252 readings of the same window. With three or more years of history, %ile (full) adds the full-history rank. Windows overlap, so read percentiles as "how unusual", not as significance.
- EWMA
- Exponentially weighted vol (λ = 0.94), annualized; the fast reading in tooltips.
- Δ20d and the 5−60 curve
- Δ20d: 20-day vol now minus 20 sessions ago, in vol points. 5−60: 5-day minus 60-day vol; positive means an inverted, stressed curve.
- Sources
- The same daily return series as the rest of the site. Spread vol is a signal about the factor, not a tradable strategy. Full spec: methodology §15.