PriceVol’s pulse on market volatility

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Market volatility levels rose this week as the S&P 500 fell 4.25% and Fed Chairman Jerome Powell announced a 75 basis point rate hike.

In turn, the CBOE Volatility Index (VIX) reached 35 and ended the week at 31.1. Meanwhile, PriceVol, a proprietary market risk instrument developed by ASYMmetric ETFs, peaked for the week at 6.6 and closed at 6.5.

PriceVol was invented to provide a more accurate measure of market volatility as it measures realized volatility and 100% price movements of the S&P 500, giving investors a more granular view of volatility. Learn more about PriceVol.

Where has the volatility been observed?

Benchmark ETFs that mirror the S&P, such as the SPDR S&P 500 ETF Trust (NYSEARCA: SPY), iShares Core S&P 500 ETF (NYSEARCA:IVV) and the Vanguard 500 Index Fund (NYSEARCA:VOO), experienced heightened levels of volatility across the board.

From a sector perspective, the Consumer Discretionary (XLY) market segment experienced the highest realized volatility levels at 9.9. At the same time, finance (NYSEARCA:XLF) of the market had the lowest level of realized volatility at 4.4 but saw one of the largest rates of change from the previous week at 19%. See the visual representation below:

Additionally, since PriceVol measures all components of the S&P 500, it allows investors to get an idea of ​​how the disparity in returns has been seen over the week. See below what the current dispersion of returns to the left looked like against a traditional low and high volatility market metric.

One ETF designed to protect against market volatility is the ASYMmetric S&P 500ETF (ASPY). ASPY is a rules-based quantitative long/short hedging strategy that seeks to provide the financial community with a shield against bear market declines, by going net short, while also seeking to capture the majority of bull market gains, being long net.

See the performance of the five ETFs discussed over multiple time periods below as well as PriceVol’s full data for the month of May.

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