On 31 October 2008, the daily swings of SPY (the S&P 500 exchange-traded fund, or ETF), scaled up to a year, reached 95.9%. On 6 October 2026, the same measure read 10.4%.
That measure is volatility: the size of a market's day-to-day moves, up or down. This guide shows how it is worked out, with SPY's calm and stressed periods since 1993. It sets SPY's volatility against the Cboe Volatility Index (VIX), a gauge taken from options prices. It also shows why a volatile market differs from a falling one.
What is volatility? Volatility measures how much a price swings from day to day, up or down. It is worked out from the spread of daily returns around their average, scaled up to a year and shown as a %.
For SPY, the S&P 500 ETF, volatility over the past 20 trading days was 10.4% on 6 October 2026. Its median since 1993 is 13.4%. Its peak was 95.9%, in October 2008.
The VIX is the expected volatility of the S&P 500 over the next 30 days, taken from options prices. It was 15.52, meaning 15.52% a year, on 5 October 2026, the latest reading.
Volatility is different from loss. In 2020, SPY's volatility was 33.4%, yet it returned 18.4% for the year.
How volatility is worked out
A daily return is the % change in a price from one close to the next. Standard deviation measures how far values typically sit from their mean. Volatility is the standard deviation of those daily returns.
Daily figures are small, so they are scaled up to a year. The rule is to multiply by the square root of 252, the number of trading days in a typical year. That is about 15.9.
So a typical daily move of 1% becomes a volatility of 15.9% a year. The same rule works backwards. A volatility of 10.4% a year means a typical daily move of about 0.66%.
Volatility measured from past prices is called realised volatility. This guide uses a 20-day window, about one month of trading. Each day, it looks back at the last 20 daily returns.
SPY volatility since 1993: calm and stress periods
Source: YX Insights
Chart 1 shows SPY's 20-day volatility for every day from March 1993 to 6 October 2026. The median was 13.4%. Volatility ran above 20% on 22.2% of days. It ran above 40% on just 2.5% of days.
The three highest peaks came in moments of stress:
31 October 2008: 95.9%. Lehman Brothers had filed for bankruptcy in September, as the financial crisis deepened.
27 March 2020: 93.2%. The coronavirus outbreak had "disrupted economic activity in many countries", the Federal Reserve (Fed) said on 15 March. That day, it cut its target range for interest rates to 0% to 0.25%.
25 April 2025: 54.5%. On 2 April, the US announced tariffs of at least 10% on imports. China answered with a 34% tariff on US goods.
The calmest stretch was 2017. SPY's 20-day volatility fell to 3.2% on 9 August 2017. Over the whole of that year, it was 6.7%.
Big moves bunch together. SPY's five biggest daily falls since 1993 all came in 2008 or 2020. So did four of its five biggest daily rises, while the fifth came in April 2025.
The largest fall was 10.9%, on 16 March 2020. The largest rise was 14.5%, on 13 October 2008.
Stress tends to last. To test it, SPY's history splits into 423 back-to-back blocks of 20 trading days.
After a block with volatility above 20%, the next block was also above 20% in 60% of cases. After a calmer block, that happened in 10.8% of cases.
Implied volatility: the VIX vs realised volatility
An option is a contract that gives the right to buy or sell at a set price by a set date. Its price rises when bigger swings are expected. Working backwards from options prices gives implied volatility, the volatility the price implies.
The main implied volatility gauge for the S&P 500 is the VIX. Cboe, an exchange group, introduced it in 1993. Cboe describes the VIX as "designed to measure the market's expectation of 30-day forward looking volatility" of US shares, "as conveyed by S&P 500 Index option prices".
The VIX is quoted in the same units as realised volatility. A VIX of 15.52 means 15.52% a year, or a typical daily move of about 0.98%.
Source: FRED (VIXCLS); YX Insights
Chart 2 puts the VIX next to SPY's 20-day realised volatility from January 2024.
In April 2025, the VIX peaked first, at 52.3 on 8 April. Realised volatility peaked later, at 54.5% on 25 April. The 20-day measure looks back, so it catches up after the event.
For most of the chart, the VIX sits above realised volatility. That is the usual pattern. The VIX looks 30 calendar days ahead, about 21 trading days. From March 1993 to September 2026, it was higher than SPY's volatility over the following 21 trading days on 83.5% of days.
The mean VIX over that span was 19.5. The mean volatility that followed was 15.8. Options prices have usually allowed for bigger swings than came.
Volatility is not the same as loss
Volatility counts rises as well as falls. A market can be volatile while it climbs.
Source: YX Insights
Chart 3 shows SPY's volatility and its return, with dividends counted, for each calendar year from 2017 to 2025. In 2017, volatility was 6.7% and the return was 21.7%. In 2020, volatility was 33.4%, yet SPY still returned 18.4%.
In 2022, volatility was lower than in 2020, at 24.2%. Yet SPY fell 18.2% that year, its worst in the chart. In 2025, volatility was 19.5% and the return was 17.7%.
Loss is measured differently. A drawdown is the fall from a peak to a low, covered in What Is a Drawdown?
How to read volatility numbers
A few checks help:
Turn it into a daily move. Divide the yearly figure by 15.9. A VIX of 15.52 points to typical daily moves of about 1%.
Check the window. A 20-day measure reacts fast. SPY's volatility over the year to 6 October 2026 was 13.0%, against 10.4% over 20 days.
Expect runs. A stressed month has often been followed by another one.
Read the VIX as size only. It prices how big the swings may be. It says nothing about their direction.
Volatility is the size of a price's daily swings, scaled up to a year. For SPY, it has ranged from 3.2% to 95.9% since 1993. It measures how bumpy the ride is, while drawdown measures how far the price fell.
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Common questions about volatility
How is volatility calculated?
Volatility is the standard deviation of daily returns, scaled up to a year. Take each day's % change in price. Work out how far those changes typically sit from their mean. Then multiply by the square root of 252, about 15.9. A typical daily move of 1% equals a volatility of 15.9% a year.
What is a normal level of volatility for the stock market?
For SPY, the S&P 500 ETF, the median 20-day volatility since 1993 was 13.4% a year. That is a typical daily move of under 1%. It ran above 20% on 22.2% of days. It reached 95.9% in October 2008 and fell to 3.2% in August 2017.
Is high volatility good or bad?
High volatility is neither good nor bad on its own. It means bigger daily swings in both directions, which is not the same as losing money. In 2020, SPY's volatility was 33.4%, yet it returned 18.4%. In 2022, volatility was lower, at 24.2%, while SPY fell 18.2%.
What does the VIX measure?
The VIX measures the volatility of the S&P 500 expected over the next 30 days, taken from options prices. It is run by Cboe and quoted as a % a year. It was 15.52 on 5 October 2026. Since 1993, it has been above SPY's volatility over the following 21 trading days, about 30 calendar days, on 83.5% of days.
Is volatility the same as risk?
Volatility is one measure of risk, but not the only one. It counts rises and falls alike. A drawdown, the fall from a peak to a low, measures loss directly. Beta measures how much a share moves with the market, covered in What Is Stock Beta? Each answers a different question about risk.
DISCLAIMER: This article is strictly educational. Any information or analysis in this note is not an offer to sell or the solicitation of an offer to buy any securities. Nothing in this note is intended to be investment advice and nor should it be relied upon to make investment decisions. Any opinions, analyses, or probabilities expressed in this note are those of the author as of the note's date of publication and are subject to change without notice.