Market Risk Effects from Coronovirus

A look at how the recent spread of covid19 has expressed itself in rapidly increasing US Equity market volatility:

This is a rolling, 30-day SPX volatility chart. The increase has been profound in its speed and impact.

All calculations are as of 3/5/2020, executed on daily data since 12/31/2019.

The results above were calculated using The RiskAPI Add-In, our unique software client which allows fund managers to access a whole spectrum of on-demand portfolio risk analysis calculations.