What Falling Historical Volatility Could Mean for the SPX
Schaeffers Investment Research·2025-10-08 11:59
This week, I’m examining two volatility measures on the S&P 500 Index (SPX). The 20-day historical volatility (HV) has fallen below 6% for the first time in over a year, meaning the index has been especially calm over the past 20 trading days as the index continues to hit new all-time highs. The second volatility measure, the CBOE Volatility Index (VIX), reflects the expected volatility over the next 30 days based on SPX option prices. Interestingly, while realized volatility (the 20-day HV) has collapsed, ...