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) | +1.0% | 9.4% | 10.8% | 10.3% | 11.3% | 12.3% | 13.2% | 19 | +1.2 |
| Factor portfolios (long) | |||||||||
| Dividend yield | +0.1% | 7.1% | 7.7% | 8.7% | 9.6% | 10.3% | 9.9% | 28 | +0.5 |
| High beta | +1.6% | 20.5% | 24.3% | 28.5% | 38.0% | 42.1% | 37.1% | 21 | -0.1 |
| Low volatility | +0.3% | 8.2% | 6.8% | 7.3% | 9.1% | 9.3% | 8.8% | 22 | -1.1 |
| Momentum | +1.0% | 13.0% | 16.5% | 20.6% | 33.6% | 38.7% | 33.1% | 18 | -4.8 |
| Quality | +0.7% | 8.8% | 11.2% | 10.7% | 12.0% | 13.7% | 14.1% | 20 | +2.1 |
| Size | +0.5% | 7.2% | 15.4% | 14.9% | 15.2% | 16.6% | 19.1% | 18 | +0.5 |
| Value | +0.4% | 11.9% | 11.0% | 11.8% | 11.1% | 11.1% | 12.8% | 41 | +2.4 |
| Factor spreads (Q5−Q1) | |||||||||
| Dividend yield spread | -0.2% | 7.5% | 10.5% | 11.0% | 15.5% | 16.1% | 16.8% | 1 | -2.6 |
| High beta spread | +1.1% | 14.1% | 24.6% | 26.3% | 36.8% | 38.1% | 33.4% | 24 | -4.9 |
| Low volatility spread | -0.1% | 11.5% | 22.6% | 22.0% | 31.6% | 31.6% | 31.7% | 6 | -5.0 |
| Momentum spread | +1.1% | 11.6% | 9.6% | 16.2% | 29.4% | 29.6% | 25.1% | 21 | -7.9 |
| Quality spread | -0.0% | 7.2% | 11.5% | 9.9% | 11.0% | 11.3% | 11.3% | 30 | +0.5 |
| Size spread | -0.0% | 6.9% | 12.1% | 10.0% | 9.9% | 11.7% | 12.1% | 25 | +0.4 |
| Value spread | -0.1% | 13.9% | 16.2% | 17.3% | 25.5% | 25.2% | 24.9% | 4 | -1.7 |
| Sectors | |||||||||
| Basic Materials | +1.3% | 25.8% | 22.9% | 20.2% | 20.0% | 21.9% | 22.0% | 47 | +1.5 |
| Communication Services | +0.9% | 15.8% | 25.5% | 21.7% | 26.4% | 24.8% | 22.2% | 62 | +4.7 |
| Consumer Cyclical | +1.3% | 13.5% | 14.4% | 15.5% | 21.5% | 21.0% | 21.0% | 12 | -2.1 |
| Consumer Defensive | +0.3% | 13.6% | 13.0% | 12.1% | 15.4% | 15.8% | 15.0% | 20 | -3.1 |
| Energy | +0.4% | 14.5% | 17.1% | 18.4% | 19.5% | 21.3% | 20.3% | 35 | -1.7 |
| Financial Services | +0.2% | 12.2% | 13.1% | 12.6% | 11.8% | 12.4% | 14.6% | 29 | +1.3 |
| Healthcare | +0.1% | 13.4% | 12.5% | 14.0% | 16.1% | 16.8% | 15.4% | 32 | -4.2 |
| Industrials | +2.5% | 20.9% | 16.9% | 18.0% | 18.0% | 20.0% | 19.7% | 38 | +1.8 |
| Real Estate | +0.4% | 9.7% | 11.6% | 11.1% | 11.9% | 13.9% | 13.5% | 25 | -0.4 |
| Technology | +1.2% | 12.1% | 16.3% | 16.0% | 22.3% | 25.6% | 24.0% | 7 | -3.6 |
| Utilities | +0.4% | 11.4% | 12.6% | 13.0% | 12.0% | 13.5% | 13.1% | 60 | +1.0 |
| Thematic baskets | |||||||||
| AI Displacement Risk | -4.1% | 49.8% | 37.3% | 39.9% | 39.9% | 40.7% | 36.5% | 66 | +14.0 |
| AI Infrastructure Leaders | +1.9% | 29.6% | 30.5% | 44.9% | 54.0% | 56.7% | 50.8% | 52 | +0.5 |
| AI Software & Platforms | -0.4% | 25.0% | 22.5% | 26.0% | 33.5% | 37.1% | 33.6% | 31 | -10.8 |
| Capital Markets Cycle | +0.0% | 11.4% | 15.2% | 17.1% | 17.3% | 18.1% | 19.8% | 28 | +0.0 |
| Commodity Producers | +0.6% | 17.2% | 15.3% | 20.4% | 20.4% | 20.4% | 22.5% | 41 | -2.4 |
| Crypto Financialization | -0.1% | 34.8% | 36.8% | 51.5% | 61.4% | 57.6% | 63.2% | 14 | -15.4 |
| Cybersecurity | +1.2% | 18.2% | 35.2% | 43.6% | 45.1% | 43.6% | 39.0% | 70 | -8.6 |
| Defense & Aerospace | -0.6% | 15.0% | 14.3% | 13.3% | 21.5% | 23.0% | 24.2% | 0 | -8.9 |
| Defensives | +0.5% | 9.7% | 9.2% | 9.6% | 12.9% | 14.6% | 12.9% | 8 | -1.5 |
| US Energy Complex | +0.7% | 19.8% | 20.3% | 21.9% | 22.5% | 23.9% | 23.0% | 39 | -0.7 |
| Fortress Balance Sheets | +0.3% | 4.7% | 9.8% | 13.1% | 14.5% | 14.8% | 15.2% | 23 | -1.6 |
| GLP-1 Pressure | +0.4% | 12.5% | 12.3% | 13.0% | 18.3% | 18.8% | 17.1% | 16 | -3.7 |
| Homebuilders | -0.7% | 15.2% | 27.4% | 28.0% | 29.4% | 33.3% | 32.5% | 19 | -2.0 |
| Hospitals & Providers | +0.9% | 14.7% | 19.3% | 17.8% | 19.6% | 19.7% | 20.2% | 40 | +3.6 |
| Housing Chain | -0.4% | 12.9% | 21.1% | 21.4% | 25.8% | 29.4% | 27.8% | 15 | -3.9 |
| Magnificent Seven | +1.6% | 16.8% | 21.3% | 17.7% | 21.8% | 22.5% | 22.0% | 29 | +1.7 |
| Managed Care & Health Insurers | +2.4% | 23.4% | 22.7% | 27.3% | 27.9% | 29.4% | 31.7% | 36 | +2.3 |
| Memory & Storage | -4.4% | 38.8% | 43.7% | 51.5% | 70.7% | 77.1% | 73.9% | 5 | -3.8 |
| Nuclear Renaissance | -0.2% | 21.2% | 25.2% | 37.9% | 43.0% | 49.0% | 50.3% | 6 | -3.8 |
| Optical Interconnect | +4.9% | 69.2% | 53.8% | 69.6% | 81.4% | 78.7% | 73.9% | 52 | -6.7 |
| Payments & Fintech | -0.2% | 17.7% | 15.9% | 21.2% | 23.4% | 25.3% | 26.5% | 17 | -2.7 |
| Power & Grid Buildout | +0.8% | 18.9% | 16.7% | 26.9% | 30.6% | 34.4% | 34.2% | 6 | -0.7 |
| Regional Banks | +0.9% | 12.4% | 16.2% | 17.3% | 16.6% | 18.5% | 22.1% | 23 | +0.7 |
| Reshoring & Industrial Capex | +1.6% | 16.3% | 13.1% | 15.0% | 18.3% | 22.8% | 22.6% | 4 | -3.0 |
| Retail | -0.0% | 6.8% | 10.3% | 17.4% | 18.6% | 18.9% | 17.8% | 45 | -2.1 |
| 60/40 SMH/XLE | +1.3% | 15.8% | 14.2% | 20.2% | 22.0% | 26.8% | 24.3% | 28 | +3.7 |
| Space Economy | +2.0% | 26.0% | 29.0% | 27.8% | 36.7% | 47.5% | 50.0% | 2 | -5.3 |
| Travel & Experiences | +0.7% | 13.1% | 15.9% | 16.1% | 19.6% | 23.3% | 24.9% | 4 | -4.8 |
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.