February 13, 2023

State of Realized Volatility: Wall Street looks ahead towards CPI print

Wall Street’s economic calander is quiet at the start of the week as investors await the latest round of inflation print data this week. As a result, volatility levels remain at bay, but should come alive as market participants receive the most up to date CPI figures due out on Tuesday.

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ThePriceVol indicator pointed to smoother waters as the trading week kicked off after a Friday reading of 7.8. Moreover, PriceVol, which is a measure of the complete realized volatility in the S&P 500 (SP500) (SPY), ended the five-day week with an average reading of 9.3, just shy of 10, which indicates bear market territory.

Where has volatility been seen?

Of the eleven S&P sectors, the two segments that noticed the highest levels of PriceVol were the Communications Services (NYSEARCA:XLC) sector and the Consumer Discretionary (NYSEARCA:XLY) space. On the flipside, the two area’s that noticed the softest PriveVol levels were the Real Estate (NYSEARCA:XLRE) segment and the Energy (NYSEARCA:XLE) sector.

Communications and Consumer Discretionary provided readings of 11.7 and 10.5, whereas Real Estate and Energy both provided figures of 3.8. See a breakdown of each sector’s PriceVol level over the past week below:

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The ASYMmetric S&P 500 ETF (ASPY) is a fund designed as an offshoot to the PriceVol indicator. See below a chart of how ASPY has traded in 2023 compared to the above-mentioned exchange traded funds.

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Now read: Value And Momentum Breakout View: Cyclical Rally Faces A February Reckoning

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