Goldman study: S&P 500 volatility rockets in Q2

Single-stock and index volatility has shot up since the end of the first quarter of 2002, according to research by investment bank Goldman Sachs.

Volatility has been on a steady upswing since March 28, when 75% of all stocks in the S&P 500 were trading in the lowest decile of their three-month implied volatility relative to their distributions over the previous two years.

As at June 11, that proportion of S&P 500 stocks had fallen dramatically to 20%. According to Goldman Sachs data, the five largest volatility increases came in utilities (a 14.5% increase on average), telecommunication services (12.5%), pharmaceuticals and biotechnology (12.1%), technology hardware and equipment (9.2%) and software and services (8.8%).