Monitor
Annualized realized vol by window, colored by percentile against the series' own trailing year. Sort by any column.
| Series | 1d return | 5d | 10d | 20d | 60d | 120d | 1y | 20d %ile (1y) | Δ 20d |
|---|---|---|---|---|---|---|---|---|---|
| Index | |||||||||
| S&P 500 (computed) | -0.2% | 19.6% | 29.1% | 22.0% | 15.0% | 14.4% | 13.9% | 100 | +12.2 |
| Factor portfolios (long) | |||||||||
| Dividend yield | -0.2% | 11.2% | 17.9% | 19.8% | 14.1% | 14.3% | 12.4% | 98 | +9.1 |
| High beta | -0.2% | 48.6% | 66.0% | 54.1% | 36.6% | 38.5% | 33.0% | 99 | +29.8 |
| Low volatility | +0.0% | 11.2% | 19.9% | 18.7% | 13.0% | 12.6% | 11.1% | 98 | +9.7 |
| Momentum | +0.2% | 42.7% | 57.8% | 44.8% | 29.1% | 31.7% | 27.5% | 100 | +29.2 |
| Quality | -0.2% | 24.7% | 33.5% | 25.6% | 17.3% | 17.1% | 15.3% | 100 | +14.2 |
| Size | -0.8% | 15.6% | 22.1% | 21.0% | 15.6% | 15.5% | 14.9% | 98 | +8.1 |
| Value | -0.4% | 13.5% | 17.8% | 16.8% | 13.6% | 12.8% | 12.7% | 99 | +5.2 |
| Factor spreads (Q5−Q1) | |||||||||
| Dividend yield spread | +0.8% | 20.8% | 26.7% | 26.4% | 19.8% | 20.3% | 18.4% | 99 | +11.2 |
| High beta spread | -1.7% | 48.7% | 63.7% | 56.7% | 40.8% | 42.0% | 35.1% | 99 | +25.4 |
| Low volatility spread | +1.1% | 38.7% | 50.3% | 43.7% | 30.5% | 31.7% | 27.3% | 99 | +21.5 |
| Momentum spread | +0.9% | 29.7% | 50.5% | 43.1% | 30.2% | 35.4% | 29.2% | 90 | +24.7 |
| Quality spread | +0.5% | 6.3% | 6.2% | 6.5% | 6.5% | 7.4% | 7.1% | 35 | -0.1 |
| Size spread | -0.6% | 14.1% | 25.4% | 24.1% | 16.6% | 17.3% | 14.5% | 98 | +12.2 |
| Value spread | -0.4% | 23.2% | 37.3% | 33.9% | 24.2% | 25.3% | 20.7% | 98 | +14.8 |
| Sectors | |||||||||
| Basic Materials | -0.9% | 18.9% | 26.8% | 19.9% | 16.7% | 18.2% | 18.6% | 72 | +5.1 |
| Communication Services | +0.7% | 17.9% | 23.6% | 34.1% | 25.3% | 27.8% | 24.5% | 94 | +13.1 |
| Consumer Cyclical | -0.3% | 21.9% | 33.9% | 28.3% | 21.3% | 23.9% | 22.0% | 90 | +13.5 |
| Consumer Defensive | +0.0% | 10.7% | 23.2% | 22.5% | 18.6% | 18.1% | 16.6% | 97 | +5.7 |
| Energy | +2.2% | 20.0% | 38.5% | 31.2% | 24.1% | 23.8% | 23.3% | 99 | +11.3 |
| Financial Services | -0.5% | 13.4% | 27.1% | 21.8% | 17.4% | 16.0% | 16.7% | 91 | +7.4 |
| Healthcare | -0.3% | 14.2% | 22.4% | 21.1% | 18.0% | 19.2% | 17.0% | 91 | +4.6 |
| Industrials | -0.7% | 26.6% | 29.9% | 22.8% | 16.8% | 17.4% | 17.7% | 92 | +11.0 |
| Real Estate | -0.1% | 12.2% | 21.1% | 19.4% | 15.2% | 15.8% | 14.8% | 96 | +5.2 |
| Technology | -0.6% | 31.6% | 50.7% | 40.0% | 27.5% | 28.8% | 25.6% | 100 | +22.8 |
| Utilities | +0.6% | 17.9% | 16.6% | 17.0% | 17.2% | 16.4% | 16.7% | 59 | +0.5 |
| Thematic baskets | |||||||||
| AI Displacement Risk | -0.4% | 19.2% | 35.9% | 36.6% | 36.1% | 40.7% | 36.7% | 56 | +0.3 |
| AI Infrastructure Leaders | -0.8% | 83.7% | 104.6% | 85.0% | 59.0% | 62.3% | 53.7% | 100 | +47.8 |
| AI Software & Platforms | -0.3% | 18.0% | 20.2% | 23.2% | 24.7% | 31.4% | 30.6% | 29 | +3.5 |
| Capital Markets Cycle | -0.8% | 20.6% | 31.9% | 25.2% | 20.7% | 19.9% | 20.6% | 89 | +9.4 |
| Commodity Producers | +0.4% | 11.6% | 18.9% | 16.3% | 17.8% | 18.4% | 19.2% | 15 | +0.2 |
| Crypto Financialization | -2.6% | 35.2% | 56.1% | 45.2% | 45.9% | 44.5% | 45.9% | 53 | +11.8 |
| Cybersecurity | -0.3% | 26.0% | 46.7% | 42.2% | 40.2% | 37.1% | 34.3% | 84 | +6.8 |
| Defense & Aerospace | -1.5% | 26.2% | 29.9% | 28.2% | 21.7% | 22.5% | 21.3% | 100 | +13.2 |
| Defensives | +0.1% | 10.9% | 18.7% | 22.8% | 16.1% | 16.8% | 14.5% | 98 | +10.4 |
| US Energy Complex | +1.8% | 22.4% | 41.8% | 33.1% | 25.1% | 24.5% | 23.9% | 100 | +12.7 |
| Fortress Balance Sheets | -0.5% | 15.4% | 25.3% | 20.0% | 15.7% | 15.7% | 15.9% | 91 | +8.4 |
| GLP-1 Pressure | -0.6% | 17.0% | 32.8% | 29.0% | 20.6% | 21.5% | 18.4% | 98 | +13.8 |
| Homebuilders | -2.1% | 43.7% | 56.8% | 49.4% | 36.5% | 35.1% | 33.4% | 99 | +18.4 |
| Hospitals & Providers | -0.8% | 13.1% | 36.1% | 31.9% | 22.4% | 22.1% | 21.4% | 98 | +17.6 |
| Housing Chain | -1.3% | 29.8% | 45.8% | 40.6% | 29.3% | 30.0% | 28.4% | 98 | +17.6 |
| Magnificent Seven | -0.4% | 18.6% | 31.4% | 28.4% | 21.3% | 23.7% | 22.1% | 88 | +10.3 |
| Managed Care & Health Insurers | -0.4% | 21.2% | 20.9% | 22.1% | 20.8% | 24.1% | 28.8% | 21 | +1.0 |
| Memory & Storage | -2.6% | 94.7% | 140.8% | 111.0% | 76.2% | 88.7% | 81.7% | 98 | +57.9 |
| Nuclear Renaissance | +1.5% | 58.0% | 61.9% | 52.2% | 41.0% | 36.1% | 35.3% | 99 | +14.0 |
| Optical Interconnect | -1.0% | 113.2% | 135.3% | 110.2% | 85.6% | 88.7% | 80.3% | 99 | +38.9 |
| Payments & Fintech | -2.4% | 18.9% | 21.5% | 20.1% | 20.2% | 22.6% | 23.4% | 29 | +2.0 |
| Power & Grid Buildout | +0.2% | 49.2% | 59.7% | 48.2% | 35.2% | 33.7% | 30.8% | 99 | +23.2 |
| Regional Banks | -0.5% | 18.9% | 24.3% | 21.0% | 19.6% | 20.8% | 22.2% | 44 | +5.2 |
| Reshoring & Industrial Capex | -0.4% | 26.2% | 34.7% | 27.4% | 20.4% | 21.1% | 21.8% | 94 | +13.5 |
| Retail | -1.1% | 20.8% | 33.9% | 29.6% | 22.4% | 20.3% | 18.2% | 98 | +14.5 |
| 60/40 SMH/XLE | +0.0% | 37.4% | 57.6% | 44.2% | 29.6% | 30.7% | 26.2% | 100 | +29.3 |
| Space Economy | -1.2% | 23.8% | 27.5% | 27.8% | 21.2% | 22.1% | 21.1% | 99 | +10.2 |
| Travel & Experiences | -2.3% | 24.4% | 43.7% | 35.5% | 26.8% | 25.4% | 26.6% | 98 | +15.3 |
Rolling vol
Rolling realized vol, annualized. The index and the three hottest tapes are drawn; select a legend entry to add or hide a series.
Vol cone
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.
Definitions
How each column is calculatedRealized vol, 1d return, percentiles, EWMA, Δ20d and the 5−60 curve
Definitions used across this page. Full spec: methodology §15.
- 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.