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 | |||||||||
| S&P 500 (computed) | +0.9% | 9.7% | 10.1% | 9.1% | 11.5% | 13.6% | 12.8% | 16 | -4.8 |
| Factor portfolios (long) | |||||||||
| Dividend yield | +0.5% | 11.0% | 8.9% | 10.8% | 13.9% | 12.3% | 11.4% | 54 | -1.2 |
| High beta | +1.5% | 21.9% | 22.5% | 23.0% | 34.4% | 35.0% | 29.7% | 25 | -13.4 |
| Low volatility | +0.3% | 8.4% | 7.3% | 9.1% | 11.2% | 10.9% | 10.1% | 45 | +1.5 |
| Momentum | +1.2% | 19.3% | 17.0% | 17.1% | 29.4% | 29.9% | 24.8% | 28 | -13.1 |
| Quality | +1.1% | 11.8% | 12.2% | 10.6% | 15.4% | 16.8% | 14.1% | 29 | -7.0 |
| Size | +0.7% | 15.9% | 13.1% | 12.7% | 15.4% | 14.5% | 14.5% | 16 | -3.1 |
| Value | +0.7% | 9.8% | 10.7% | 10.9% | 11.9% | 11.9% | 12.2% | 28 | -0.3 |
| Factor spreads (Q5−Q1) | |||||||||
| Dividend yield spread | -0.9% | 10.5% | 13.1% | 17.0% | 17.8% | 19.0% | 17.0% | 54 | -0.5 |
| High beta spread | +2.0% | 24.9% | 26.5% | 28.9% | 38.0% | 37.0% | 31.4% | 58 | -6.4 |
| Low volatility spread | -1.9% | 16.6% | 17.2% | 22.3% | 27.4% | 28.4% | 25.2% | 36 | -3.6 |
| Momentum spread | +0.5% | 27.5% | 22.9% | 24.8% | 37.7% | 33.4% | 26.3% | 56 | -13.4 |
| Quality spread | +0.6% | 7.4% | 7.8% | 11.2% | 9.6% | 8.9% | 7.8% | 99 | +4.3 |
| Size spread | -0.2% | 10.7% | 9.3% | 11.3% | 16.9% | 14.6% | 13.1% | 46 | -5.2 |
| Value spread | -0.6% | 9.7% | 15.5% | 17.7% | 23.8% | 21.7% | 18.2% | 67 | -3.3 |
| Sectors | |||||||||
| Basic Materials | +0.5% | 14.3% | 15.0% | 15.2% | 17.4% | 18.7% | 17.9% | 22 | -4.2 |
| Communication Services | +1.4% | 12.7% | 17.8% | 15.6% | 28.6% | 27.0% | 22.5% | 17 | -21.1 |
| Consumer Cyclical | +1.1% | 16.3% | 19.3% | 18.3% | 25.1% | 23.9% | 21.9% | 32 | -14.2 |
| Consumer Defensive | +0.7% | 10.4% | 8.1% | 16.1% | 17.6% | 16.7% | 15.2% | 58 | +1.0 |
| Energy | +0.4% | 13.1% | 16.4% | 16.2% | 20.7% | 23.7% | 21.6% | 8 | -7.8 |
| Financial Services | +0.7% | 12.5% | 13.9% | 12.9% | 12.6% | 13.7% | 14.5% | 35 | +2.0 |
| Healthcare | -0.1% | 20.2% | 15.4% | 20.3% | 19.9% | 18.0% | 16.4% | 90 | +4.7 |
| Industrials | +1.0% | 14.2% | 15.0% | 13.9% | 15.8% | 18.9% | 16.8% | 32 | -3.4 |
| Real Estate | +0.9% | 13.1% | 12.8% | 11.0% | 15.0% | 15.1% | 14.2% | 18 | -2.6 |
| Technology | +1.2% | 11.0% | 13.4% | 18.2% | 24.7% | 26.8% | 23.8% | 19 | -10.6 |
| Utilities | +0.3% | 15.7% | 16.5% | 16.0% | 14.3% | 16.4% | 15.9% | 57 | +2.5 |
| Thematic baskets | |||||||||
| AI Displacement Risk | +3.0% | 47.9% | 39.4% | 35.7% | 43.3% | 39.4% | 34.4% | 63 | -9.6 |
| AI Infrastructure Leaders | +2.5% | 44.9% | 39.8% | 41.5% | 58.4% | 56.4% | 48.8% | 40 | -20.7 |
| AI Software & Platforms | +1.4% | 28.5% | 26.8% | 30.0% | 33.6% | 35.3% | 30.1% | 48 | -9.6 |
| Capital Markets Cycle | +0.5% | 16.9% | 21.5% | 17.9% | 19.0% | 19.2% | 19.9% | 41 | +1.8 |
| Commodity Producers | -0.2% | 13.2% | 14.3% | 13.7% | 17.4% | 18.2% | 19.0% | 0 | -6.6 |
| Crypto Financialization | +0.5% | 33.0% | 60.1% | 54.3% | 44.3% | 45.6% | 46.5% | 88 | +20.2 |
| Cybersecurity | +0.0% | 6.9% | 31.9% | 40.5% | 33.1% | 38.7% | 31.4% | 84 | +12.7 |
| Defense & Aerospace | +0.3% | 16.6% | 19.6% | 20.4% | 22.5% | 22.1% | 20.3% | 54 | -5.2 |
| Defensives | +0.1% | 10.3% | 8.9% | 11.0% | 16.3% | 15.0% | 13.4% | 31 | -3.0 |
| US Energy Complex | +0.1% | 12.0% | 14.0% | 15.3% | 21.1% | 23.6% | 22.4% | 1 | -10.5 |
| Fortress Balance Sheets | +0.9% | 18.3% | 16.6% | 14.1% | 15.8% | 16.2% | 15.4% | 43 | -3.4 |
| GLP-1 Pressure | -0.6% | 16.7% | 14.8% | 18.4% | 22.2% | 18.9% | 17.0% | 75 | -1.0 |
| Homebuilders | +1.7% | 32.4% | 27.6% | 26.7% | 32.9% | 32.4% | 30.7% | 16 | -7.3 |
| Hospitals & Providers | +1.2% | 19.2% | 15.4% | 14.7% | 20.8% | 20.9% | 19.9% | 16 | -7.4 |
| Housing Chain | +1.1% | 25.2% | 23.8% | 22.2% | 29.4% | 29.2% | 26.4% | 23 | -10.1 |
| Magnificent Seven | +1.0% | 12.6% | 16.1% | 15.7% | 24.0% | 24.1% | 21.8% | 14 | -12.2 |
| Managed Care & Health Insurers | +0.2% | 15.3% | 18.6% | 18.6% | 23.6% | 27.7% | 29.9% | 0 | -6.2 |
| Memory & Storage | -2.6% | 63.6% | 46.9% | 60.0% | 90.6% | 84.4% | 79.5% | 11 | -37.0 |
| Nuclear Renaissance | +1.0% | 26.2% | 25.1% | 24.4% | 26.6% | 29.9% | 32.3% | 7 | -4.0 |
| Optical Interconnect | +2.4% | 69.7% | 61.5% | 67.6% | 85.0% | 81.8% | 73.0% | 42 | -32.6 |
| Payments & Fintech | +0.8% | 25.1% | 25.2% | 21.7% | 24.0% | 23.8% | 24.4% | 40 | -1.1 |
| Power & Grid Buildout | +2.0% | 27.6% | 25.1% | 24.9% | 28.7% | 30.0% | 27.9% | 29 | -2.1 |
| Regional Banks | +0.6% | 11.4% | 18.1% | 18.9% | 18.8% | 21.2% | 22.9% | 25 | +3.6 |
| Reshoring & Industrial Capex | +1.2% | 16.2% | 18.2% | 18.8% | 20.1% | 22.5% | 20.8% | 40 | -0.0 |
| Retail | +0.8% | 20.1% | 14.8% | 18.0% | 18.5% | 18.1% | 16.4% | 72 | +0.1 |
| 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% | 11.8% | 13.0% | 18.6% | 21.7% | 21.1% | 19.9% | 40 | -5.3 |
| Travel & Experiences | +0.8% | 21.1% | 23.9% | 22.4% | 21.7% | 26.2% | 25.6% | 40 | +0.5 |
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.