Describe how much the stock market, crypto and each asset have moved, measured from daily price ranges
Answers how turbulent the stock market, crypto and each asset in scope have been, from past daily prices only. It measures each day's variance from that day's open, high, low and close and the gap from the previous close, and annualizes the average over the last 21 sessions (30 days for coins). The stock market regime is SPY's reading, labelled calm, normal, elevated or stressed at fixed levels, with QQQ, IWM and DIA beside it. It counts how many of fifteen index and sector funds sit in the top fifth of their own stored history (stress breadth), measures how closely the eleven sector funds have moved together (sector correlation), and states how long the current label has held against its earlier spells. A crypto realized index averages bitcoin's and ethereum's readings. For each asset in scope it gives the asset's realized volatility, where that sits in its own history, and the share of its recent variance that came from falls. It describes what has happened; it does not say what prices or volatility will do next.
Realized volatility: how much prices actually moved, measured from the prices themselves.
CLOSE-TO-CLOSE AND RANGE ESTIMATORS. The textbook measure is the standard deviation of daily close-to-close log returns. A day's high and low carry more information than its close alone, so range estimators read them: Parkinson (1980) from the high-low range, Garman and Klass (1980) adding the open and close, Rogers and Satchell (1991) allowing for drift. Each is far less noisy than a squared return for the same day. Averaging the three avoids the occasional bad reading of one, and adding the squared gap from the previous close to the open captures what happens overnight, which a range inside the day cannot see. For crypto, which trades around the clock, that gap is near zero.
ANNUALIZING. A daily variance is scaled to a year by the number of trading periods in one: about 252 sessions for stocks and funds, 365 days for coins. The square root of the annual variance, in percent, is the figure quoted. It describes the size of moves, not their direction.
A LEVEL AND A PLACE IN HISTORY. A label at fixed levels (calm, normal, elevated, stressed) is comparable from one day to the next. A percentile in the series' own stored history says how unusual today is for that series, but it depends on the window stored: two years of a calm market makes an ordinary day look high.
DISPERSION AND CORRELATION. An index's volatility depends on its members' volatilities and on how closely they move together. When sectors move apart, offsetting one another, many of them can be turbulent while the index stays calm; when their correlation rises, the same individual moves add up. Reading stress breadth and sector correlation beside the index's own figure separates the two.
REALIZED SEMIVARIANCE (Barndorff-Nielsen, Kinnebrock and Shephard, 2010) splits realized variance into the part from falls and the part from rises. The downside share says which side carried the movement over the window; it is a description of the past, not a measure of risk ahead.
PERSISTENCE. Volatility clusters: large moves tend to follow large moves, which is why a regime label tends to hold for a while. How long the current label has held, and how long earlier spells lasted, is measured from the stored history.
WHAT IT IS NOT. It is computed from prices alone and reads no options data, so it carries nothing about what option buyers expect, or the premium options usually carry over the movement that follows, and it cannot see an event that has been scheduled but has not yet moved prices. The fixed levels, the 80% point used for stress breadth and the 60% and 40% downside cut-offs are our own convention.
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