US S&P 500 10th Percentile 6M
US S&P 500 10th Percentile 6M stood at -11.9% on Sep 30, 2026, according to Minneapolis FED (Market-based Probability Densities). It is one of the indicators in the Implied volatility from options table (Value · Daily), with a complete series running from Jan 12, 2007 to Sep 30, 2026. The complete series with an interactive chart, free to download.
This indicator in the Implied volatility from options table
| Indicator | 30-09-2026 | 23-09-2026 | 16-09-2026 | 09-09-2026 | 02-09-2026 | 26-08-2026 | 19-08-2026 | 12-08-2026 | 05-08-2026 | 29-07-2026 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| S&P 500 Index, 6-month horizon | |||||||||||
| 10th percentile (adverse scenario) | -11.9 | -11.95 | -12.27 | -12.44 | -12.07 | -12.83 | -13.09 | -13.21 | -12.34 | -13.86 | |
| 50th percentile (median change) | 3.6 | 3.44 | 3.63 | 3.44 | 3.5 | 3.48 | 3.47 | 3.49 | 3.19 | 3.84 |
Understanding US S&P 500 10th Percentile 6M
US S&P 500 10th Percentile 6M establishes the lower boundary of expected option-derived price variance for the benchmark equity index over a six-month horizon, capturing periods of subdued market anxiety. The indicator includes the lowest decile of historical volatility readings embedded in options pricing, while excluding median expectations and severe market stress events. It differs from higher percentile metrics by focusing exclusively on calm market regimes where investors price minimal downside protection.
This series refreshes continuously with market pricing and contains no historical revisions, reflecting instantaneous shifts in market sentiment without seasonal adjustments. Analysts interpret this metric by comparing current low-volatility readings against multi-year baseline distributions rather than utilizing month-on-month growth rates. Such comparisons reveal whether compressed risk pricing is an isolated anomaly or part of an extended period of market complacency.