Consistent with its pattern in the first half of the year, third quarter implied volatility was consistently average to well-above average while remaining resistant to spikes during periods of steep market decline.
The Cboe® Volatility Index (the VIX®) averaged 24.79 in the third quarter of 2022. Average implied volatility exceeded realized volatility, as measured by the standard deviation of daily returns for the S&P 500® Index, which was 21.39% for the quarter. The VIX® closed June at 28.71 and drifted to an intra-quarter low of 19.53 on August 12 before trending up over the remainder of the quarter. The VIX® did not breach 30 until late in the third quarter, despite the equity market drop of more than 4% on September 13 – the one-day plunge saw the VIX® close at just 27.27. The VIX® reached its intra-quarter high of 32.60 on September 27 and closed the quarter at 31.62.
Through September 30, the S&P 500® Index has had daily price changes of +/-1% or larger 93 times, including nine daily changes of 3% or larger and two daily negative price changes that exceeded 4%. The index is on track to have more daily swings exceeding 1% than it had in 2020 and the most since 2008. Over the last 30 years, the yearly average number of daily moves exceeding 1% is approximately 64.
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