After spiking to levels not seen in a couple of years back in March and April, US equity market volatility has really settled back down. The chart below does a great job telling the story.

The chart shows the S&P 500’s average absolute daily percentage change on a rolling 50-trading day basis. Over the last 50 trading days, the S&P has averaged a daily move of +/-0.56%. That’s 14 bps below the bull market average daily move of +/-0.70%, and it’s half the daily move we were seeing at peak levels of vol earlier this year.

Note, however, that while volatility has indeed settled down, we’re going to need to see a continued slowdown in action throughout the summer months to get back to the historically low vol that investors got used to in 2017. Remember, back in November 2017, there was a 50-trading day period where the S&P experienced an average daily change of just +/-0.22%.