Volatility

How wildly the S&P 500 has been moving day to day over the last month. Calm markets usually mean confidence; big swings mean nerves.

Formula

Reading = Standard deviation of daily log returns (20 days) × √252 · Score = percentile of today's reading among the last 252 trading days, reversed (100 − percentile)

Worked example

1. Today's reading: 13.2% annualised
2. Compare it with every daily reading over the past year (252 trading days).
3. Today's volatility is higher than 42% of the past year's readings, so the score is 100 − 42.

Result: 58 / 100 · greed

How to read it

This one is reversed: high volatility scores as fear, low volatility as greed. (CNN uses the VIX for this; we measure the swings directly.)

Daily ETF closing prices from Twelve Data

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