Volatility Regime Composite
Not just how volatile — what kind of volatile.
VOLR classifies the current volatility regime across equity, rates, credit, and FX markets — distinguishing low, normal, elevated, and crisis volatility environments with cross-asset breadth.
The Volatility Regime Composite (VOLR) measures the cross-asset volatility environment by aggregating realized and implied volatility across equities (VIX), rates (MOVE Index), credit (credit-spread volatility), and FX (currency volatility). Unlike the VIX alone, VOLR distinguishes volatility elevated across multiple asset classes simultaneously (systemic) from volatility concentrated in one area (idiosyncratic).
The VIX captures equity volatility expectations but can miss stress building in rates or credit. In the UK gilt crisis of September 2022, for example, the MOVE Index spiked before the VIX and cross-asset volatility was elevated before US equities repriced. VOLR measures volatility across asset classes so that this kind of breadth is visible in a single reading rather than only in equity-implied volatility.
VOLR classifies four buckets: Suppressed (<30), Normal (30–55), Elevated (55–75), and Crisis (>75). Transitions between buckets — for example from Elevated into Crisis, or from Elevated back toward Normal — describe changes in the current volatility regime. MarketSchema does not present these transitions as entry or exit signals; they are classifications of the measured environment.
VOLR is a measurement of the current cross-asset volatility regime, not a set of position recommendations. Descriptively: Suppressed regimes are characterized by low realized and implied volatility across assets and low cross-asset correlation; Elevated and Crisis regimes are characterized by rising volatility and by cross-asset correlations converging toward 1, so the diversification benefit between asset classes weakens. How to act on that regime is a decision for the reader and their own advisor — MarketSchema publishes VOLR as objective context.