Volatility Dispersion Monitor

Dispersion measures how much index constituents are moving relative to each other and to the index itself. High dispersion means stocks are moving independently and index-level volatility understates the risk in individual names — a favorable backdrop for dispersion trades. Low dispersion means stocks are moving together and index volatility captures most of the risk. Each chart below tracks the dispersion score alongside the index's baseline volatility and the average volatility of its components over time.