Market timing · Report
October Premium
Does SPX volatility really run hotter in the October before a US presidential election? The 23-election historical record (1928–2024) says no — and the real pattern is the post-election relief rally instead.
Last updated November 06, 2026
The October surprise is a market myth
Common wisdom says US presidential election years deliver elevated October volatility — the so-called “October surprise.” The historical record across 23 elections from 1928 to 2024 says otherwise:
- Aug–Oct SPX vol in election years averaged -1.14% relative to the Aug–Oct baseline from years 1 through 3 of the same presidential term. Not a premium — a discount.
- Only 27% of elections saw vol rise above the baseline.
- The real pattern is the post-election relief rally: Nov–Dec is positive 70% of the time, averaging +2.32%.
Where 2026 sits today
Election-year realized Aug–Oct volatility for 2026, computed from daily SPX closes in symbol_data.db, compared against the 2025 baseline. Updated nightly.
As of 2026-10-30 (64 trading days through Oct 31). The 2026 election-year Aug–Oct realized vol sits near baseline — consistent with the 23-election historical pattern of no systematic October premium.
The 23 elections — Nov–Dec relief rally
Every US presidential election 1928–2024 with its post-election Nov–Dec SPX return. Positive = election-outcome relief rally delivered; negative = post-election selloff (rare, usually tied to external shocks — e.g., 2008 GFC, 2000 dot-com, the 1948 Truman surprise).
By party of the incumbent
Does the relief rally differ when a Democratic incumbent is defending vs a Republican incumbent? The honest answer across the 23-election sample: the rally happens either way. The incumbent’s party is the weakest explanatory variable in the data.
Methodology
The vol premium calculation. For each of the 23 historical election years 1928–2024, compute two numbers:
- y4 vol: realized annualized SPX volatility across Aug 1 – Oct 31 of the election year.
- y13 vol: realized annualized SPX volatility across Aug 1 – Oct 31 of years 1, 2, and 3 of the same presidential term (baseline).
The premium is (y4 − y13) — positive values mean the election year experienced elevated vol. The ratio is y4 / y13 — a ratio above 1.2 is the threshold we use for “elevated.” Report both metrics are computed from daily SPX closing prices, with annualization via the standard sqrt(252) convention.
The relief rally calculation. SPX total return from the first trading day after Election Day through December 31 of the election year. Not dividend-adjusted (price return only), matching standard practitioner convention.
Live 2026 context. Pulled fresh each publish run from symbol_data.db SPX (daily closes). 2025 serves as the baseline until the full presidential-term baseline (2025, 2027, 2028) becomes available.
Caveats.
- A 23-election sample is small. Individual outliers (1948 Truman shock, 2008 GFC) move the average materially.
- The Aug–Oct window is one of many candidate measurement windows. Other researchers use Sep–Oct only, or the full Q3+Q4 window. The negative-premium finding is robust to window choice.
- The baseline (years 1–3 of same term) controls for broader bull/bear regimes. Comparing against an all-years baseline instead would find a modestly positive premium driven by elections clustering in bull-market stretches.
Data sources. SPX daily closes from symbol_data.db; term boundaries + party lookup from presidential_performance.db. Regenerated nightly via the Presidents project orchestrator.
Related reports
- Midterm Seat Loss Ranking — the voter-side verdict two years in; a different political-calendar signal.
- 2026 Midterm Forecast — the three-model ensemble on House seat swing.
- Full-Term Ranking — where every president ranks on 24 economic + market metrics.
- Back to Presidential Performance library