How to Read Cross-Asset Vol Sentiment
Stress rarely stays in one market. A sell-off in stocks can start in bonds, a currency or credit, and calm in the S&P 500 can hide tension elsewhere. The Vol Sentiment score asks one simple question of 14 markets at once, whether volatility is high or low compared with each market's own recent history, and condenses the answers into a single number from 0 to 100.
1. The idea: relative, not absolute
Volatility levels are not comparable across markets. A VIX of 16 is ordinary for US stocks, while 16% volatility in a major currency pair would be extreme, and bond market volatility is quoted in basis points rather than percent. Adding or averaging raw levels would mostly measure which markets happen to be volatile by nature.
Vol Sentiment avoids that problem by comparing each market only with itself. For every market it asks where today's volatility ranks within that market's own look-back window. Once every market is expressed as a rank on the same 0–100 scale, the results can be compared and averaged.
2. The 14 markets
The basket covers four groups, chosen so that stress in any major corner of global markets shows up. Each market is represented by one volatility series: an option-implied volatility index where a public one exists, otherwise realized volatility measured from the market's own daily price moves.
| Group | Market | Implied volatility input | Realized volatility fallback |
|---|---|---|---|
| Equities | United States | VIX | S&P 500 |
| Europe | VSTOXX | Euro Stoxx 50 | |
| Japan | Nikkei Volatility Index | Nikkei 225 | |
| China | VXFXI | FXI | |
| Currencies | EUR/USD | EVZ, EUVIX | EUR/USD spot |
| USD/JPY | JYVIX | USD/JPY spot | |
| GBP/USD | BPVIX | GBP/USD spot | |
| EM FX | – | 10 emerging-market currencies | |
| Rates & credit | US rates | MOVE, VXTLT | IEF |
| US high yield | VIXHY | HYG | |
| US investment grade | VIXIG | LQD relative to IEF | |
| Commodities | Crude oil | OVX | USO |
| Gold | GVZ | GLD | |
| Copper | – | CPER |
The By Market table on the page shows which input each market used on a given day. On October 28, 2026, 9 of the 14 markets were measured from implied volatility; the currency pairs and copper used realized volatility because their public implied indices are unavailable or no longer updated.
3. How each market is scored
For each market, today's volatility is ranked against every session in its look-back window, including today. The highest reading in the window gets rank 1. The rank is then rescaled to 0–100:
So a score of 0 means today's volatility is the highest of the window, and 100 means it is the lowest. With a one-month window of 21 sessions, a market whose volatility is the 5th highest of the month scores 100 × 4 ÷ 20 = 20, and one that is the 2nd lowest scores 100 × 19 ÷ 20 = 95.
Because the score is a rank, it does not say how far volatility has moved, only where it sits. A market can score 0 after a small rise if its volatility has been unusually stable, and a market can score 50 even when its volatility is high by long-run standards, if the whole window has been volatile.
4. The Sentiment Score and the 50 line
The Sentiment Score is the simple average of the market scores. Every market has the same weight, so the score measures breadth, how widespread stress or calm is, rather than how large any single move was. A crash in one market moves the score by at most about 7 points (100 ÷ 14).
| Score | What it usually means |
|---|---|
| 80–100 | Volatility near the bottom of its range almost everywhere. Calm, sometimes complacent. |
| 50 | The dividing line. Above it, more markets are calm than stressed; below it, the reverse. |
| 0–20 | Volatility near the top of its range across markets. Broad stress. |
The header also counts the markets at the extremes: how many score below 20 (near the top of their volatility range) and how many score above 80 (near the bottom). On October 28, 2026 the one-year score was 53.4, just on the calm side of 50. One market was below 20 (US rates, 14.2) and three were above 80 (GBP/USD, copper and gold). That combination, a middling average with rates stressed and some commodities and currencies very calm, is exactly the kind of picture a single equity volatility index would miss.
5. Look-back windows
The same calculation is repeated for four look-back windows: about one month, three months, six months and one year of sessions. The one-year window is the headline score; the shorter windows react first.
- Short windows below the one-year score: stress is new. Volatility has risen compared with recent weeks, but not yet compared with the whole year.
- All windows low together: stress is established. Volatility is high against every reference period.
- Short windows high, long windows low: volatility is still elevated by yearly standards but has stopped rising and is easing from its recent peak.
US rates on October 28, 2026 illustrate the last case. Their scores were 100 on the one-month window, 41.7 on three months, 20.8 on six months and 14.2 on one year. Rates volatility was the lowest it had been in a month, yet still near the top of its one-year range.
6. Implied versus realized inputs
Implied volatility comes from option prices and reflects what traders expect and are paying to hedge. It can rise before anything happens, for example ahead of a central bank decision. Realized volatility is measured from past price moves, so it reacts only after prices have moved.
That is why implied indices are used wherever a public one exists. Markets measured from realized volatility can turn a little later than the others, especially at the start of a stress episode. Built entirely from public data, the score closely tracks a reference built from institutional implied-volatility data, and the largest gaps appear in the markets measured from price moves. How Late Is Realized Volatility? measures that lag across markets.
7. Reading the Vol Sentiment page
- Header shows the latest Sentiment Score for the selected window, its value a week and a month ago, the number of stressed and calm markets, and the date of the data.
- Window and Range buttons choose the look-back window used for the score and the period shown on the chart.
- Sentiment Score chart plots the score over time. The shaded half below 50 is the stressed side. Click any date to load that day's breakdown.
- Score by window shows the one-month to one-year scores side by side, for reading the patterns in section 5.
- Extremes lists the most stressed and calmest markets of the day.
- By Market shows every market's score for every window, grouped into equities, currencies, rates and credit, and commodities, with the input used (IV or RV). Click a market to overlay its score on the chart.
- CSV downloads the scores for your own analysis.
8. Limitations you should know
- It is not a trading signal. The score describes the current volatility backdrop. It does not predict the direction of any market.
- Ranks hide size. A score says where volatility sits in its own range, not how high it is in absolute terms or how big the latest move was.
- Equal weights are a choice. US equities count as much as copper. That is deliberate, to measure breadth, but it means the score is not a measure of portfolio risk.
- Realized inputs lag. Markets without a public implied volatility index react after prices move.
- Recent values can be revised. Scores are updated once a day after the US close, and the last few sessions can change the next day when late data arrive.
Read alongside the volatility regime for US equities, Vol Sentiment answers a complementary question: is today's calm or stress local, or is it everywhere?
Continue with How to Read the Volatility Regime or How to Read the VIX Term Structure.