US S&P 500 Implied Std Dev 6M
US S&P 500 Implied Std Dev 6M stood at 11.2% 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 | |||||||||||
| Implied standard deviation | 11.2 | 11.18 | 11.58 | 11.52 | 11.29 | 11.77 | 12.02 | 12.06 | 11.42 | 12.55 | |
| 10th percentile (adverse scenario) | -11.9 | -11.95 | -12.27 | -12.44 | -12.07 | -12.83 | -13.09 | -13.21 | -12.34 | -13.86 |
Understanding US S&P 500 Implied Std Dev 6M
US S&P 500 Implied Std Dev 6M quantifies the expected standard deviation of benchmark index returns over a six-month duration, extracted from options pricing models. It measures the dispersion of future price outcomes expected by market participants, explicitly excluding realized historical variance and macroeconomic indicators that do not directly impact large-cap equity options. Researchers frequently mistake this dispersion metric for standard historical volatility, whereas this series captures forward-looking market expectations rather than past price movements.
Updated constantly during trading hours, the data undergoes no retroactive revisions and exhibits little traditional seasonality. Analysts should evaluate this measure by observing relative shifts against long-term historical norms rather than relying on sequential month-on-month comparisons. This approach provides a clearer picture of how market participants price forward risk over the medium term without distortion from past realized returns.