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) | +0.8% | 8.2% | 10.5% | 10.1% | 11.2% | 12.2% | 13.0% | 17 | +1.6 |
| Factor portfolios (long) | |||||||||
| Dividend yield | -0.1% | 6.8% | 7.8% | 10.0% | 11.8% | 12.4% | 11.4% | 31 | -0.6 |
| High beta | +1.3% | 18.1% | 22.8% | 23.6% | 29.7% | 33.7% | 30.1% | 23 | +1.8 |
| Low volatility | +0.2% | 8.4% | 7.1% | 7.4% | 8.9% | 10.5% | 10.0% | 3 | -0.9 |
| Momentum | +0.9% | 11.0% | 14.4% | 17.7% | 23.5% | 28.0% | 25.0% | 27 | +1.8 |
| Quality | +0.4% | 8.0% | 12.3% | 11.3% | 13.6% | 15.2% | 14.2% | 32 | +1.0 |
| Size | -0.0% | 6.7% | 9.5% | 11.9% | 13.6% | 13.9% | 14.3% | 10 | +1.1 |
| Value | +0.2% | 10.5% | 10.8% | 11.0% | 11.3% | 11.4% | 12.3% | 30 | +1.0 |
| Factor spreads (Q5−Q1) | |||||||||
| Dividend yield spread | -0.4% | 7.8% | 12.6% | 11.8% | 16.3% | 18.1% | 17.1% | 7 | -5.2 |
| High beta spread | +1.3% | 15.4% | 23.7% | 26.6% | 32.5% | 36.5% | 31.8% | 31 | -1.3 |
| Low volatility spread | -0.7% | 14.9% | 17.5% | 17.4% | 23.4% | 27.5% | 25.2% | 4 | -4.8 |
| Momentum spread | +1.7% | 14.6% | 12.4% | 22.7% | 31.0% | 32.5% | 26.6% | 46 | -0.7 |
| Quality spread | -0.5% | 8.5% | 6.8% | 7.2% | 8.6% | 8.9% | 7.8% | 48 | -3.5 |
| Size spread | -0.4% | 4.8% | 9.8% | 11.3% | 14.1% | 14.9% | 13.2% | 48 | +0.9 |
| Value spread | -0.9% | 8.0% | 14.9% | 14.8% | 19.5% | 21.6% | 18.4% | 38 | -3.2 |
| Sectors | |||||||||
| Basic Materials | +1.3% | 36.6% | 28.3% | 22.3% | 18.9% | 19.3% | 18.5% | 96 | +6.8 |
| Communication Services | +1.0% | 16.5% | 26.4% | 22.5% | 27.7% | 25.9% | 23.1% | 62 | +4.9 |
| Consumer Cyclical | +1.4% | 14.7% | 15.3% | 16.1% | 23.2% | 22.2% | 21.9% | 13 | -2.1 |
| Consumer Defensive | +0.2% | 14.1% | 13.7% | 12.4% | 15.8% | 16.2% | 15.4% | 21 | -3.3 |
| Energy | +0.2% | 14.9% | 18.6% | 20.3% | 21.1% | 23.0% | 21.9% | 38 | -1.9 |
| Financial Services | +0.1% | 12.3% | 13.7% | 13.1% | 11.9% | 12.6% | 14.6% | 32 | +1.5 |
| Healthcare | -0.0% | 14.0% | 12.0% | 14.3% | 17.1% | 17.6% | 15.9% | 31 | -4.6 |
| Industrials | +0.8% | 13.6% | 11.2% | 11.9% | 14.1% | 17.1% | 16.9% | 10 | -0.3 |
| Real Estate | +0.4% | 9.7% | 11.9% | 11.7% | 12.4% | 14.9% | 14.3% | 27 | -0.4 |
| Technology | +1.1% | 11.5% | 16.2% | 16.2% | 22.5% | 25.6% | 24.0% | 7 | -2.9 |
| Utilities | +0.3% | 14.1% | 13.4% | 16.4% | 14.9% | 16.8% | 16.1% | 61 | +1.0 |
| Thematic baskets | |||||||||
| AI Displacement Risk | -3.6% | 50.5% | 38.6% | 41.2% | 40.7% | 40.3% | 35.4% | 73 | +12.7 |
| AI Infrastructure Leaders | +1.7% | 27.5% | 28.7% | 42.5% | 50.7% | 54.4% | 49.2% | 42 | +1.1 |
| AI Software & Platforms | -0.6% | 19.3% | 20.6% | 24.7% | 31.5% | 33.7% | 30.4% | 34 | -8.0 |
| Capital Markets Cycle | -0.1% | 12.8% | 15.0% | 17.0% | 17.1% | 18.2% | 19.9% | 27 | -0.3 |
| Commodity Producers | +0.5% | 14.8% | 14.2% | 21.3% | 19.0% | 19.0% | 19.5% | 83 | +3.0 |
| Crypto Financialization | -0.5% | 23.5% | 22.0% | 36.7% | 43.8% | 44.7% | 46.7% | 18 | -17.4 |
| Cybersecurity | +1.5% | 14.2% | 31.7% | 31.9% | 35.2% | 37.9% | 32.3% | 62 | -10.7 |
| Defense & Aerospace | -0.7% | 14.1% | 13.7% | 13.8% | 20.1% | 20.8% | 20.3% | 4 | -6.1 |
| Defensives | +0.3% | 9.9% | 9.4% | 10.0% | 13.2% | 15.0% | 13.4% | 13 | -0.4 |
| US Energy Complex | +0.4% | 20.2% | 19.6% | 20.9% | 21.7% | 23.3% | 22.7% | 31 | -1.8 |
| Fortress Balance Sheets | +0.3% | 5.4% | 10.7% | 13.2% | 14.4% | 14.2% | 15.5% | 23 | +0.2 |
| GLP-1 Pressure | +0.1% | 9.8% | 10.7% | 13.2% | 18.6% | 18.9% | 16.9% | 23 | -4.0 |
| Homebuilders | -1.8% | 18.4% | 26.6% | 27.2% | 28.6% | 31.7% | 30.7% | 23 | -1.5 |
| Hospitals & Providers | +0.9% | 11.0% | 13.1% | 16.7% | 19.3% | 20.6% | 19.9% | 38 | +3.6 |
| Housing Chain | -0.6% | 13.2% | 20.6% | 20.1% | 25.1% | 27.9% | 26.4% | 14 | -3.3 |
| Magnificent Seven | +1.6% | 16.8% | 21.3% | 17.7% | 21.8% | 22.5% | 22.0% | 29 | +1.7 |
| Managed Care & Health Insurers | +1.8% | 18.0% | 18.3% | 19.3% | 22.6% | 26.6% | 29.9% | 5 | -2.2 |
| Memory & Storage | -6.6% | 52.8% | 47.5% | 56.2% | 77.2% | 81.6% | 78.9% | 6 | -5.1 |
| Nuclear Renaissance | +0.0% | 22.6% | 17.4% | 28.6% | 26.6% | 30.5% | 32.5% | 20 | +6.6 |
| Optical Interconnect | +3.8% | 70.9% | 55.5% | 71.2% | 81.7% | 79.3% | 74.7% | 50 | -8.2 |
| Payments & Fintech | -0.6% | 16.3% | 15.6% | 19.7% | 21.4% | 22.3% | 24.4% | 20 | -1.5 |
| Power & Grid Buildout | +1.1% | 20.0% | 17.2% | 26.6% | 25.6% | 29.2% | 28.3% | 42 | +4.1 |
| Regional Banks | +0.6% | 12.1% | 17.4% | 21.0% | 19.1% | 20.8% | 23.3% | 38 | +2.7 |
| Reshoring & Industrial Capex | +1.2% | 15.9% | 13.2% | 13.9% | 17.2% | 20.4% | 20.8% | 6 | -3.3 |
| Retail | -0.3% | 7.9% | 10.2% | 17.0% | 17.3% | 17.6% | 16.7% | 54 | +0.8 |
| 60/40 SMH/XLE | +1.3% | 15.8% | 14.2% | 20.2% | 22.0% | 26.8% | 24.3% | 28 | +3.7 |
| Space Economy | -0.5% | 14.2% | 16.4% | 13.5% | 19.0% | 20.2% | 19.9% | 11 | -4.7 |
| Travel & Experiences | +0.9% | 14.2% | 18.9% | 18.2% | 20.5% | 24.2% | 25.7% | 10 | -3.2 |
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.