Thursday, October 7, 2021
The S&P 500® Index returned 0.58% in the third quarter, bringing its year-to-date return to 15.92%. After strong monthly
advances of 2.38% and 3.04% in July and August, respectively, the S&P 500® Index surrendered to a growing list of
investor concerns in September and declined 4.65%, suffering its first monthly loss since January of this year
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Thursday, October 7, 2021
Implied volatility, as measured by the Cboe® Volatility Index (the VIX®), rose in September as investors processed a
laundry list of concerns including coronavirus variants, inflation and U.S. political dysfunction. At the press conference
after the Federal Open Market Committee (FOMC) on September 22, Chairman Powell indicated that the FOMC was
keeping close watch on how economic and financial conditions may be impacted by such concerns, among others.
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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 2020. 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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