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What happens when S&P 500 volatility is above 40%?
It has happened 26 times since 1928. A year after it began, the S&P 500 was up 16 of 26 times, with a median move of +8.8%. On an ordinary day in the same years the median was +9.4%, up 69% of the time.
S&P 500: volatility (annualised %, 21 days) above 40. Not true on 2026-09-25.
What came next
| 1 month later | 1 year later | 3 years later | |
|---|---|---|---|
| S&P 500 | +1.8% 58% up · n 26 · normal +1.1% | +8.8% 62% up · n 26 · normal +9.4% | +11.8% 60% up · n 25 · normal +25.7% |
| Gold | +1.2% 67% up · n 9 · normal 0.0% | +12.6% 67% up · n 9 · normal +2.9% | +25.4% 63% up · n 8 · normal +10.4% |
| Oil | -0.4% 44% up · n 9 · normal 0.0% | +13.8% 78% up · n 9 · normal 0.0% | +102.1% 88% up · n 8 · normal +8.9% |
| 10-year yield (pts) | -0.08 pts 22% up · n 9 · normal +0.01 pts | -0.05 pts 44% up · n 9 · normal +0.09 pts | -0.21 pts 38% up · n 8 · normal +0.06 pts |
| Inflation, CPI y/y (pts) | -0.07 pts 32% up · n 25 · normal 0.00 pts | -0.59 pts 42% up · n 26 · normal -0.01 pts | +1.88 pts 64% up · n 25 · normal -0.04 pts |
| Unemployment rate (pts) | +0.10 pts 56% up · n 9 · normal 0.00 pts | +0.50 pts 67% up · n 9 · normal -0.20 pts | -0.15 pts 38% up · n 8 · normal -0.40 pts |
Median move after each episode began, how often it rose, and how many episodes had data. "Normal" is the same move from any trading day in the same years.
Every time it happened
- 2025-04-09 · true for 18 trading days · S&P 500 a year later: +25.1%
- 2020-03-09 · true for 38 trading days · S&P 500 a year later: +41.1%
- 2011-08-11 · true for 19 trading days · S&P 500 a year later: +19.9%
- 2009-02-10 · true for 32 trading days · S&P 500 a year later: +29.1%
- 2008-09-22 · true for 70 trading days · S&P 500 a year later: -11.2%
- 2002-10-15 · true for 6 trading days · S&P 500 a year later: +18.8%
- 2002-07-29 · true for 18 trading days · S&P 500 a year later: +10.0%
- 1998-09-11 · true for 13 trading days · S&P 500 a year later: +34.0%
- 1987-10-19 · true for 26 trading days · S&P 500 a year later: +24.3%
- 1946-09-05 · true for 19 trading days · S&P 500 a year later: -5.6%
- 1940-05-21 · true for 25 trading days · S&P 500 a year later: +4.5%
- 1939-09-05 · true for 25 trading days · S&P 500 a year later: -14.7%
- 1938-09-29 · true for 34 trading days · S&P 500 a year later: +7.5%
- 1938-04-01 · true for 22 trading days · S&P 500 a year later: +23.2%
- 1937-09-27 · true for 83 trading days · S&P 500 a year later: -19.4%
- 1935-08-19 · true for 24 trading days · S&P 500 a year later: +38.4%
- 1935-04-16 · true for 51 trading days · S&P 500 a year later: +85.6%
- 1934-08-09 · true for 13 trading days · S&P 500 a year later: +25.8%
- 1933-10-04 · true for 38 trading days · S&P 500 a year later: -14.3%
- 1933-02-27 · true for 132 trading days · S&P 500 a year later: +95.5%
- 1932-04-15 · true for 196 trading days · S&P 500 a year later: +3.9%
- 1931-09-23 · true for 113 trading days · S&P 500 a year later: -28.3%
- 1931-06-03 · true for 39 trading days · S&P 500 a year later: -64.6%
- 1931-01-07 · true for 25 trading days · S&P 500 a year later: -45.5%
- 1930-06-19 · true for 21 trading days · S&P 500 a year later: -36.4%
- 1929-10-23 · true for 38 trading days · S&P 500 a year later: -35.6%
- 26 separate episodes: a new one starts after 30 days without a match, so one long selloff counts once.
- Try enough situations and one will look like an edge by chance.
- Macro numbers are as published at the time. Stocks include companies that later died.
- How these numbers are made.
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