Market volatility (VIX) levels hinder back and forth as Wall Street awaits Thursday’s CPI print. While the Fed raised rates by 75 basis points last week and remained hawkish, the financial community looks towards Thursday’s report to gain even further future insight into how the Fed will approach upcoming rate decisions.
PriceVol Indicator
PriceVol levels remain elevated with a rolling five-day average reading of 10.5. Moreover, PriceVol, which is a measure of realized volatility in the S&P 500, ended October at 10.1. This is the first time in 2022 that PriceVol has concluded north of its risk-off threshold of 10, which usually occurs during bear markets.
ASYMmetric ETFs highlighted in an investor note: “Realized volatility of the S&P 500 remained compressed during the early stages of the Great Recession. PriceVol didn’t measure realized volatility above its risk-off or bear market threshold of 10 until roughly 8 months into the bear market of 2007-2009.” Some argue that markets are already in a recession while others don’t, but PriceVol levels would suggest that markets are.
Where has volatility been seen?
While the broader S&P (SP500) and its mirroring ETFs (NYSEARCA:SPY), (VOO), and (IVV) experienced elevated PriceVol levels, from a sector standpoint the areas that noticed the highest levels of elevated volatility included five specific areas. The segments that notched PriceVol readings above 10 included Health Care (XLV) at 13.5, Consumer Discretionary (XLY) at 12.7, Communication Services (XLC) at 12.3, Financials (XLF) at 11.3, and the Industrials (XLI) sector at 10.2.
See a breakdown of each sector’s PriceVol level over the past week below:
The ASYMmetric S&P 500 ETF (NYSEARCA:ASPY) is a fund designed as an offshoot to the PriceVol indicator. The fund works as a quantitative long/short hedging strategy that seeks to offer investors a backstop against bear market selloffs by being net short, while also seeks to capture the majority of bull market gains, by being net long.
In other ETF related news, the issuer of the PriceVol indicator also filed for two new “Smart ETFs” with the SEC.