SPY's realised volatility is 8.4%, lower than on 85% of days since 2000
21-session realised volatility of SPY daily log returns, annualised, from January 2000 through 10 Sep 2026; percentile against every day since 2000.
SPY realised volatility, 21-session, annualised
Shading marks the latest year; dashed lines = 20th and 80th percentiles since 2000
Log scale, so equal distances are equal percentage changes in volatility.
How often each volatility level occurs
Number of sessions per 2-point bucket since 2000
Readings above 60% are placed in the last bucket.
What it shows · fact
SPY's 21-session realised volatility was 8.4% on 10 Sep 2026, the 15th percentile since 2000 (median 13.7%). A year earlier it was 9.1%.
The highest reading was 94% on 6 Apr 2020; the 20th-80th percentile range is 9-21%.
Why it matters · inference
Volatility is low against its own history. Calm has not lasted reliably: of all days since 2000 in the bottom fifth of readings, 35% were followed within six months (126 sessions) by a reading in the top fifth.
Realised volatility is backward-looking: it tells how rough the last month was, not how rough the next will be.
What would change this read
A move above the 80th percentile (21%) would mark a shift into a stressed regime.
A gap between implied volatility (option prices) and this realised measure would show whether the market prices more risk than it has recently delivered.
Method
- Standard deviation of the last 21 daily log returns × √252. Percentile = share of all days since 2000 with a reading at or below today's.
- Chart a plots every third session to keep the page light.
Sources
- MCH research warehouse, daily adjusted closes (Alpha Vantage); SPY through 10 Sep 2026.
Universe
| Names in the published feed | 886 |
| Excluded: held, suspended, withdrawn, deferred, deal-pending or pending review | 53 |
| Reader-safe universe | 833 |
| Used in this exhibit: SPY only (benchmark ETF; no single names) | 1 |
Names whose rating is held, suspended, withdrawn, deferred or under a pending deal are excluded from every exhibit, so no held output appears here.
General and impersonal investment research. Not personal financial advice. Forecasts, valuations and model outputs are estimates and may be wrong. See Investment Disclaimer.
MCH Analysis is a general investment-research publication of MCH Advisory (Pty) Ltd. It is not personal financial advice and does not take your circumstances into account. MCH is not a licensed financial services provider or a registered investment adviser. Past performance, whether actual or simulated, does not predict future results. Subscriber Agreement | Privacy and Cookie Notice | Research Governance Policies