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New Data: U.S. - S&P 500 volatility [UPDATED]
Wednesday, 27 Dec 2017 21:30 ET
By Karl Zandi
Summary
December 2013 -- Moody's Analytics now computes a volatility metric for the S&P 500® Index, which tracks but is distinct from the VIX® (one daily series, from 1950). [Updated October 2016.]
Detail

Widely followed by market participants, the Chicago Board Options Exchange Market Volatility Index (official site) is an index of implied volatility for S&P 500 index options. Quoted in percentage points, the VIX indicates expected movement of the S&P 500 index of U.S. equities over the upcoming 30-day period, annualized. It is often called the "fear index."

By contrast, the Moody's Analytics historical volatility metric is a measure of realized volatility -- past behavior, not future. We compute the standard deviation of the percent change in the closing value of the S&P 500 index, over a 30-day backward-looking rolling window of the daily returns, excluding trading holidays. Units are an unspecified "index" such that a higher value denotes more volatility; the series has meaning only over time, not for isolated periods.

Because our metric closely tracks the VIX, it can be interpreted in two ways:

  • As a measure of market volatility in its own right
  • As a proxy variable for the VIX

Complementing our forecasts of the VIX, our U.S. macro model includes FSPVOL.IUSA, introduced in August 2012 (see related article).

Related time series are:

  • CBOEVIXUD.IUSA     = Daily close value of VIX
  • SPISP500UD.IUSA    = Daily S&P 500 index
  • SPISP500VOLUD.IUSA = Volatility metric - February 14, 1950 to present
  • FSPVOL.IUSA        = Forecasted volatility metric
  • FCBOEVIXQ.IUSA     = Forecasted quarterly average of the VIX
  • FCBOEVIXHQ.IUSA    = Forecasted quarterly high value of the VIX

Updates:

  • Oct. 25, 2013 - Original version of article.
  • Oct. 6, 2016 - Clarified meaning of the units.
  • Oct. 6, 2016 - Because Data Buffet now carries the daily OHLC values of the VIX (see related article), our metric is no longer a necessary proxy.
Other
Related ReleaseS&P Dow Jones Daily Indices
SourceS&P Dow Jones Indices LLC
FrequencyBusiness Daily
GeographyUnited States
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