SPY volatility sits near its long-run middle
SPY's realised volatility over the last month is 10.5% annualised, against a 13.6% median since 2000. That is the 31st percentile: neither unusually calm nor stressed.
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 means · inference
- Volatility has risen from 6.4% a year ago
- Realised volatility looks back, not forward
For investors · general, not personal financial advice
- Volatility gives no strong positioning signal now
- Calm or stress could build from here
What would change it
- A move above 21%, the 80th percentile
- Implied volatility rising well above realised
Method
- What is measured: 21-session realised volatility of SPY daily log returns, annualised, from January 2000 through 1 Oct 2026; percentile against every day since 2000.
- 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 1 Oct 2026.
Universe
| Names in the published feed | 886 |
| Excluded: held, suspended, withdrawn, deferred, deal-pending or pending review | 58 |
| Reader-safe universe | 828 |
| 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Names whose rating is held, suspended, withdrawn, deferred or under a pending deal are excluded from every exhibit, so no held output appears here.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