{"slug":"volatility-targeting-position-sizing","qid":"vol_regimes","label":"SPY realised volatility by month against a 10% target","post_title":"Volatility Targeting for Position Sizing","post_url":"/blog/volatility-targeting-position-sizing#q-vol_regimes","columns":["month","month_label","realised_vol_pct","target_vol_pct"],"rows":[{"month":"2020-08-01","month_label":"Aug 2020","realised_vol_pct":8.3,"target_vol_pct":10},{"month":"2020-09-01","month_label":"Sep 2020","realised_vol_pct":24.8,"target_vol_pct":10},{"month":"2020-10-01","month_label":"Oct 2020","realised_vol_pct":20.5,"target_vol_pct":10},{"month":"2020-11-01","month_label":"Nov 2020","realised_vol_pct":16.2,"target_vol_pct":10},{"month":"2020-12-01","month_label":"Dec 2020","realised_vol_pct":9.1,"target_vol_pct":10},{"month":"2021-01-01","month_label":"Jan 2021","realised_vol_pct":16.8,"target_vol_pct":10},{"month":"2021-02-01","month_label":"Feb 2021","realised_vol_pct":14.4,"target_vol_pct":10},{"month":"2021-03-01","month_label":"Mar 2021","realised_vol_pct":16.4,"target_vol_pct":10},{"month":"2021-04-01","month_label":"Apr 2021","realised_vol_pct":10.5,"target_vol_pct":10},{"month":"2021-05-01","month_label":"May 2021","realised_vol_pct":14.1,"target_vol_pct":10},{"month":"2021-06-01","month_label":"Jun 2021","realised_vol_pct":9.3,"target_vol_pct":10},{"month":"2021-07-01","month_label":"Jul 2021","realised_vol_pct":11.4,"target_vol_pct":10},{"month":"2021-08-01","month_label":"Aug 2021","realised_vol_pct":8.3,"target_vol_pct":10},{"month":"2021-09-01","month_label":"Sep 2021","realised_vol_pct":13.1,"target_vol_pct":10},{"month":"2021-10-01","month_label":"Oct 2021","realised_vol_pct":10.9,"target_vol_pct":10},{"month":"2021-11-01","month_label":"Nov 2021","realised_vol_pct":12.9,"target_vol_pct":10},{"month":"2021-12-01","month_label":"Dec 2021","realised_vol_pct":17.2,"target_vol_pct":10},{"month":"2022-01-01","month_label":"Jan 2022","realised_vol_pct":18.7,"target_vol_pct":10},{"month":"2022-02-01","month_label":"Feb 2022","realised_vol_pct":22.5,"target_vol_pct":10},{"month":"2022-03-01","month_label":"Mar 2022","realised_vol_pct":23.2,"target_vol_pct":10},{"month":"2022-04-01","month_label":"Apr 2022","realised_vol_pct":25.1,"target_vol_pct":10},{"month":"2022-05-01","month_label":"May 2022","realised_vol_pct":31.4,"target_vol_pct":10},{"month":"2022-06-01","month_label":"Jun 2022","realised_vol_pct":29.7,"target_vol_pct":10},{"month":"2022-07-01","month_label":"Jul 2022","realised_vol_pct":19.1,"target_vol_pct":10},{"month":"2022-08-01","month_label":"Aug 2022","realised_vol_pct":19.4,"target_vol_pct":10},{"month":"2022-09-01","month_label":"Sep 2022","realised_vol_pct":24.2,"target_vol_pct":10},{"month":"2022-10-01","month_label":"Oct 2022","realised_vol_pct":27.8,"target_vol_pct":10},{"month":"2022-11-01","month_label":"Nov 2022","realised_vol_pct":27.6,"target_vol_pct":10},{"month":"2022-12-01","month_label":"Dec 2022","realised_vol_pct":18.4,"target_vol_pct":10},{"month":"2023-01-01","month_label":"Jan 2023","realised_vol_pct":16.5,"target_vol_pct":10},{"month":"2023-02-01","month_label":"Feb 2023","realised_vol_pct":15.6,"target_vol_pct":10},{"month":"2023-03-01","month_label":"Mar 2023","realised_vol_pct":18.5,"target_vol_pct":10},{"month":"2023-04-01","month_label":"Apr 2023","realised_vol_pct":12,"target_vol_pct":10},{"month":"2023-05-01","month_label":"May 2023","realised_vol_pct":12.8,"target_vol_pct":10},{"month":"2023-06-01","month_label":"Jun 2023","realised_vol_pct":10.8,"target_vol_pct":10},{"month":"2023-07-01","month_label":"Jul 2023","realised_vol_pct":8,"target_vol_pct":10},{"month":"2023-08-01","month_label":"Aug 2023","realised_vol_pct":12.3,"target_vol_pct":10},{"month":"2023-09-01","month_label":"Sep 2023","realised_vol_pct":11.4,"target_vol_pct":10},{"month":"2023-10-01","month_label":"Oct 2023","realised_vol_pct":14,"target_vol_pct":10},{"month":"2023-11-01","month_label":"Nov 2023","realised_vol_pct":11.1,"target_vol_pct":10},{"month":"2023-12-01","month_label":"Dec 2023","realised_vol_pct":9.8,"target_vol_pct":10},{"month":"2024-01-01","month_label":"Jan 2024","realised_vol_pct":11.2,"target_vol_pct":10},{"month":"2024-02-01","month_label":"Feb 2024","realised_vol_pct":12.1,"target_vol_pct":10},{"month":"2024-03-01","month_label":"Mar 2024","realised_vol_pct":10.1,"target_vol_pct":10},{"month":"2024-04-01","month_label":"Apr 2024","realised_vol_pct":13.2,"target_vol_pct":10},{"month":"2024-05-01","month_label":"May 2024","realised_vol_pct":9.5,"target_vol_pct":10},{"month":"2024-06-01","month_label":"Jun 2024","realised_vol_pct":6.7,"target_vol_pct":10},{"month":"2024-07-01","month_label":"Jul 2024","realised_vol_pct":14.4,"target_vol_pct":10},{"month":"2024-08-01","month_label":"Aug 2024","realised_vol_pct":19.2,"target_vol_pct":10},{"month":"2024-09-01","month_label":"Sep 2024","realised_vol_pct":13.8,"target_vol_pct":10},{"month":"2024-10-01","month_label":"Oct 2024","realised_vol_pct":11.2,"target_vol_pct":10},{"month":"2024-11-01","month_label":"Nov 2024","realised_vol_pct":11.8,"target_vol_pct":10},{"month":"2024-12-01","month_label":"Dec 2024","realised_vol_pct":14.1,"target_vol_pct":10},{"month":"2025-01-01","month_label":"Jan 2025","realised_vol_pct":13.9,"target_vol_pct":10},{"month":"2025-02-01","month_label":"Feb 2025","realised_vol_pct":13.2,"target_vol_pct":10},{"month":"2025-03-01","month_label":"Mar 2025","realised_vol_pct":20.7,"target_vol_pct":10},{"month":"2025-04-01","month_label":"Apr 2025","realised_vol_pct":51.9,"target_vol_pct":10},{"month":"2025-05-01","month_label":"May 2025","realised_vol_pct":16.8,"target_vol_pct":10},{"month":"2025-06-01","month_label":"Jun 2025","realised_vol_pct":10.2,"target_vol_pct":10},{"month":"2025-07-01","month_label":"Jul 2025","realised_vol_pct":6.6,"target_vol_pct":10},{"month":"2025-08-01","month_label":"Aug 2025","realised_vol_pct":12,"target_vol_pct":10},{"month":"2025-09-01","month_label":"Sep 2025","realised_vol_pct":7.1,"target_vol_pct":10},{"month":"2025-10-01","month_label":"Oct 2025","realised_vol_pct":13.8,"target_vol_pct":10},{"month":"2025-11-01","month_label":"Nov 2025","realised_vol_pct":15.4,"target_vol_pct":10},{"month":"2025-12-01","month_label":"Dec 2025","realised_vol_pct":8.4,"target_vol_pct":10},{"month":"2026-01-01","month_label":"Jan 2026","realised_vol_pct":10.3,"target_vol_pct":10},{"month":"2026-02-01","month_label":"Feb 2026","realised_vol_pct":13.4,"target_vol_pct":10},{"month":"2026-03-01","month_label":"Mar 2026","realised_vol_pct":18.2,"target_vol_pct":10},{"month":"2026-04-01","month_label":"Apr 2026","realised_vol_pct":11.6,"target_vol_pct":10},{"month":"2026-05-01","month_label":"May 2026","realised_vol_pct":9.7,"target_vol_pct":10},{"month":"2026-06-01","month_label":"Jun 2026","realised_vol_pct":17.7,"target_vol_pct":10},{"month":"2026-07-01","month_label":"Jul 2026","realised_vol_pct":12.1,"target_vol_pct":10}],"shape":"series","sql":"WITH\n    px AS\n    (\n        SELECT\n            date                  AS d,\n            toFloat64(any(close)) AS c\n        FROM global_markets.stocks_daily_aggs\n        WHERE ticker = 'SPY'\n          AND date >= toStartOfMonth(subtractYears(today(), 6))\n          AND date <  toStartOfMonth(today())\n        GROUP BY d\n    ),\n    px_sorted AS\n    (\n        SELECT arraySort(p -> p.1, groupArray((d, c))) AS pts\n        FROM px\n    ),\n    rets AS\n    (\n        SELECT arrayJoin(arrayFilter(x -> abs(x.2) < 0.4,\n                   arrayMap((a, b) -> (b.1, log(b.2 / a.2)),\n                            arraySlice(pts, 1, length(pts) - 1),\n                            arraySlice(pts, 2)))) AS r\n        FROM px_sorted\n    )\nSELECT\n    toStartOfMonth(tupleElement(r, 1))                          AS month,\n    formatDateTime(toStartOfMonth(tupleElement(r, 1)), '%b %Y') AS month_label,\n    round(stddevSamp(tupleElement(r, 2)) * sqrt(252) * 100, 1)  AS realised_vol_pct,\n    10                                                          AS target_vol_pct\nFROM rets\nGROUP BY month, month_label\nORDER BY month","computed_at":"2026-08-22T04:32:26.458282+00:00","elapsed":0.038121183}