Surprising Jump in Volatility in a Normally Docile Sector

When it comes to sector exchange traded funds with a reputation for volatility, the Consumer Staples Select SPDR (NYSEArca: XLP) probably is not the first ETF that comes to mind.

But in what is clearly a testament to rising jitters among market participants, XLP is in fact experiencing an uptick in volatility.

“The pricing of the  ‘VIX of’ consumer staples stocks is up 43% over the last month. That’s the largest increase for the month. … The options market is pricing higher levels of implied volatility even as actual price volatility is declining. The math here: 30 day actual volatility is 8.9%, but implied volatility is 14.0%. That percentage – 157% – is the greatest of any of the 10 S&P major industry groups. Very strange for a group that typically offers very strange for a group that typically offers little drama,” said Convergx Chief Market Strategist Nicholas Colas in a note posted by Chris Dieterich of Barron’s.

The $7.9 billion XLP, the largest consumer staples ETF by assets, has three-year volatility of 10.6%, below the 11.4% found on the S&P 500, according to ETF Replay data.