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When 30-day actual vol crosses 25% annualized
Backward-looking 30-day realized volatility crossing 25% annualized means the past month has been historically bumpy. Unlike VIX (forward-looking), this captures what already happened. Median realized vol on the S&P 500 is approximately 14%.
Editorial commentary written by ALAN analysts. Figures cited below are analyst-authored context — they are not derived from the chart above and may reflect different windows or sources.
Only ~8% of rolling 30-day windows since 1928 have shown annualized realized vol above 25%. This is 1.5-2 standard deviations above normal.
Volatility is autocorrelated — high-vol periods persist for weeks but eventually mean-revert. The half-life of a vol spike is roughly 20-30 trading days.
Systematic rebalancing (selling what went up, buying what went down) during high-vol periods has historically added 50-100bp of annual return vs. doing nothing.
Choppy markets are where disciplined rebalancing has historically earned extra return — systematically selling what ran up and buying what fell back has added measurable performance during high-volatility stretches. Consider tightening your rebalancing review from annual to monthly, or switching to threshold bands, for as long as realized volatility sits in this tail.