Volatility spikes to highest level since 2011
By Rick Baert
The U.S. equity market was roiled at the start and end of 2015, closing the year with the highest volatility since 2011, based on data from Investment Technology Group Inc.
Average volatility for the Standard & Poor's 500 stock index was 25% in 2015, five percentage points above the 2014 average, said Sandor Ferencz, vice president-analytics at ITG in Culver City, Calif. Volatility was high in the first quarter at 25% and dropped off to 21% in the second quarter before rising to 24% in the third quarter and then surging to a preliminary 30% in the last three months of the year. ITG measures annualized volatility as the 60-day historical volatility for the S&P 500.
Continuing declines in oil prices partially drove volatility throughout the year, but China's economic crisis in the second half of 2015 sent volatility soaring, Mr. Ferencz said. The plunge in oil prices sparked a rise in the fourth quarter of 2014, when S&P 500 volatility was at 22%, and apart from that dip in the second quarter of 2015, volatility continued to rise....