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 | |||||||||
| S&P 500 (computed) | +0.2% | 7.9% | 6.9% | 13.4% | 13.4% | 14.1% | 12.8% | 66 | +4.3 |
| Factor portfolios (long) | |||||||||
| Dividend yield | +1.1% | 15.1% | 11.4% | 13.1% | 14.3% | 12.2% | 11.4% | 84 | -2.6 |
| High beta | -0.9% | 27.8% | 22.9% | 36.5% | 40.3% | 35.4% | 29.6% | 82 | -0.9 |
| Low volatility | -0.1% | 7.6% | 5.7% | 7.9% | 12.0% | 11.3% | 10.1% | 16 | -6.2 |
| Momentum | -0.9% | 20.5% | 18.7% | 29.3% | 34.1% | 30.6% | 24.7% | 75 | -5.4 |
| Quality | -0.3% | 13.5% | 10.7% | 16.9% | 18.1% | 17.0% | 13.9% | 77 | +2.3 |
| Size | +1.4% | 17.1% | 12.9% | 17.1% | 15.5% | 14.6% | 14.7% | 90 | +1.2 |
| Value | -0.4% | 11.0% | 8.0% | 12.0% | 11.9% | 11.8% | 12.2% | 44 | +0.7 |
| Factor spreads (Q5−Q1) | |||||||||
| Dividend yield spread | -1.8% | 16.9% | 14.5% | 17.4% | 20.6% | 18.5% | 16.7% | 62 | -0.9 |
| High beta spread | +0.7% | 32.6% | 28.3% | 36.8% | 43.1% | 36.8% | 31.1% | 81 | -6.3 |
| Low volatility spread | -2.3% | 26.2% | 22.7% | 27.3% | 32.9% | 28.5% | 25.1% | 80 | -3.1 |
| Momentum spread | -2.2% | 36.7% | 29.7% | 39.0% | 40.0% | 33.4% | 26.3% | 86 | -5.8 |
| Quality spread | -2.5% | 18.6% | 13.5% | 10.7% | 10.2% | 8.7% | 7.6% | 98 | +1.2 |
| Size spread | +1.5% | 15.4% | 11.7% | 17.4% | 18.2% | 14.6% | 13.4% | 86 | -1.9 |
| Value spread | -1.7% | 22.4% | 18.3% | 22.6% | 26.4% | 21.6% | 17.9% | 84 | -4.4 |
| Sectors | |||||||||
| Basic Materials | +1.4% | 14.7% | 15.0% | 19.4% | 19.3% | 19.4% | 17.7% | 73 | +2.5 |
| Communication Services | +0.5% | 16.5% | 17.0% | 35.7% | 29.7% | 26.9% | 22.7% | 95 | +10.3 |
| Consumer Cyclical | +2.1% | 17.3% | 16.5% | 33.0% | 26.2% | 24.2% | 21.9% | 100 | +14.8 |
| Consumer Defensive | +0.6% | 14.5% | 10.9% | 15.7% | 17.6% | 17.0% | 14.9% | 59 | -3.3 |
| Energy | -0.3% | 17.7% | 27.7% | 24.4% | 23.4% | 24.0% | 21.8% | 73 | +3.6 |
| Financial Services | -0.6% | 9.3% | 7.3% | 11.1% | 13.3% | 13.9% | 14.4% | 15 | -2.7 |
| Healthcare | +3.5% | 27.3% | 21.5% | 20.0% | 20.2% | 18.1% | 16.0% | 91 | -2.3 |
| Industrials | -1.1% | 12.0% | 9.7% | 17.8% | 18.1% | 19.4% | 16.7% | 71 | +2.6 |
| Real Estate | +0.6% | 12.7% | 13.9% | 14.1% | 16.4% | 15.8% | 14.3% | 46 | -1.7 |
| Technology | -0.8% | 16.9% | 15.6% | 28.4% | 30.0% | 27.0% | 23.7% | 86 | +6.1 |
| Utilities | -0.2% | 12.6% | 13.4% | 14.7% | 15.5% | 16.8% | 15.7% | 48 | +3.0 |
| Thematic baskets | |||||||||
| AI Displacement Risk | +4.3% | 41.1% | 30.9% | 47.7% | 44.8% | 38.2% | 33.8% | 87 | +8.5 |
| AI Infrastructure Leaders | -3.5% | 52.5% | 48.8% | 63.7% | 65.4% | 57.4% | 48.6% | 87 | -0.4 |
| AI Software & Platforms | +1.8% | 36.6% | 35.7% | 38.2% | 36.9% | 34.5% | 29.6% | 85 | +7.0 |
| Capital Markets Cycle | +0.0% | 13.7% | 12.8% | 14.9% | 19.1% | 19.4% | 19.6% | 25 | -7.6 |
| Crypto Financialization | +4.1% | 44.9% | 34.7% | 33.3% | 42.9% | 43.3% | 45.1% | 19 | -11.6 |
| Cybersecurity | -2.6% | 30.3% | 29.6% | 30.8% | 33.6% | 35.9% | 29.8% | 69 | +1.3 |
| Defense & Aerospace | -0.7% | 15.0% | 14.9% | 26.2% | 23.2% | 22.1% | 19.8% | 100 | +8.4 |
| Defensives | +0.8% | 11.8% | 9.2% | 13.8% | 17.4% | 15.4% | 13.4% | 71 | -6.3 |
| US Energy Complex | -0.1% | 17.2% | 28.9% | 26.2% | 24.0% | 24.1% | 22.6% | 91 | +6.2 |
| Fortress Balance Sheets | +0.9% | 12.8% | 13.1% | 16.4% | 15.7% | 16.2% | 15.3% | 65 | +1.5 |
| GLP-1 Pressure | +2.2% | 27.3% | 19.8% | 22.6% | 22.3% | 19.4% | 17.1% | 89 | -2.6 |
| Homebuilders | +2.9% | 28.0% | 34.9% | 33.8% | 33.4% | 32.6% | 31.0% | 75 | -1.5 |
| Hospitals & Providers | +0.7% | 11.0% | 12.3% | 22.3% | 21.8% | 20.8% | 20.1% | 72 | -0.1 |
| Housing Chain | +2.4% | 21.2% | 27.0% | 32.0% | 30.6% | 29.7% | 26.8% | 92 | +1.3 |
| Magnificent Seven | +1.2% | 16.9% | 14.3% | 27.8% | 25.8% | 24.5% | 22.0% | 87 | +4.7 |
| Managed Care & Health Insurers | -1.0% | 23.4% | 25.4% | 24.5% | 27.1% | 28.6% | 29.9% | 26 | -3.1 |
| Memory & Storage | -4.6% | 100.4% | 81.5% | 97.2% | 99.7% | 86.9% | 79.5% | 86 | -9.6 |
| Nuclear Renaissance | +0.6% | 28.6% | 23.8% | 31.2% | 30.6% | 32.2% | 32.7% | 34 | +9.2 |
| Optical Interconnect | -4.3% | 93.8% | 99.0% | 104.7% | 91.7% | 85.6% | 72.8% | 100 | +22.7 |
| Payments & Fintech | +1.5% | 29.2% | 21.1% | 22.8% | 24.8% | 23.4% | 24.1% | 44 | -4.8 |
| Power & Grid Buildout | -0.7% | 29.0% | 24.5% | 30.2% | 32.2% | 30.9% | 27.8% | 77 | +2.4 |
| Regional Banks | -3.3% | 25.0% | 19.2% | 18.1% | 22.0% | 22.7% | 23.1% | 16 | -3.3 |
| Reshoring & Industrial Capex | -1.2% | 19.6% | 14.8% | 19.5% | 21.8% | 23.2% | 20.7% | 46 | -1.3 |
| Retail | +1.1% | 14.9% | 13.5% | 18.8% | 17.9% | 17.7% | 16.0% | 85 | +2.6 |
| Space Economy | -1.1% | 19.9% | 16.1% | 25.0% | 22.9% | 21.7% | 19.5% | 96 | +6.1 |
| Travel & Experiences | +0.3% | 14.7% | 16.4% | 22.0% | 23.9% | 26.9% | 25.3% | 31 | +2.3 |
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.