Friday, September 10, 2021
S&P 500® Index option buyers continued to overpay by an above-average amount based on the unusually high Volatility Risk Premium (VRP) that has persisted during the equity market’s strong recovery and advance from lows set during Q1 2021. August VRP, measured by the difference between the standard deviation of daily returns for the S&P 500® Index and average closing price of the Cboe® Volatility Index (the VIX®) over the course of the month, came in at over nine percentage points. August’s VRP was more than double its historical monthly average and it marked the 11th consecutive month of above-average readings, the third longest such streak in history and the longest in more than a decade.
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Tuesday, September 7, 2021
The S&P 500® Index returned 3.04% for the month of August, bringing its year-to-date return to 21.58%. Despite concerns over the spread of coronavirus variants and a rapid collapse of the Afghanistan government triggered by the withdrawal of U.S. military personnel, the S&P 500® Index was propelled to its seventh positive month in a row, due in part to strong aggregate operating earnings reports.
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Thursday, August 12, 2021
Is equity market volatility high or low? The answer to that question depends on where you look. Realized volatility in
July, based on the annualized standard deviation of daily returns for the S&P 500® Index, was less than 12%. That’s below
average.
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