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Say I am looking at the S&P 500, what is a quantitative way to determine whether the index is currently volatile or not? For example, if volatility > x, it is highly volatile. If volatility <= x, it is lowly volatile. I imagine without referring to another security or index, "low" and "high" would have to be determined relative to its own price history.

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  • $\begingroup$ You could always compare the current volatility to the historical volatility of the index, eg vs Q75, median, etc. $\endgroup$ – Kermittfrog Jan 30 at 3:58
  • $\begingroup$ @Kermittfrog Is there any reason for using the median over the mean? $\endgroup$ – blahahaaahahaa Jan 30 at 8:29
  • $\begingroup$ Volatility is skewed (in some cases vol can be very high, but these cases are relatively infrequent). So yes, the median and the mean do give different insights. Median is lower than mean. $\endgroup$ – noob2 Jan 30 at 10:38
  • $\begingroup$ Median and most other order statistics are so called robust measures, meaning they ignore outliers. $\endgroup$ – Sergei Rodionov Jan 30 at 14:42

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