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Sunday, February 28, 2016

S&P 500 Full Historical Volatility Chart

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Please note the Values plotted are formatted as a percent. You can multiply by 100 to get what you would expect. In future charts I create I will adjust this (Google sheets formats slightly different vs Excel). I created this chart using historical data from Yahoo Finance imported into Google Sheets and then I created a chart from my published google sheet using Google Fusion tables. Here is a chart S&P500 Historical Volatility going back to 1950. I have plotted 30 and 60 day Histoical(realized) Volatility, as well as 5 vs 30 day Volatility on the chart. The chart will be not be updated, but in the future I will make charts that will. I plan on making other charts comparing S&P500 Historical Volatility vs the VIX index so we can see the difference between Realized and Implied Volatility for the S&P500 Index.

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