Volatility of cyclical and counter cyclical stocks have converged

We often group stocks into either cyclical or counter cyclical baskets based on their GICS sector, and then measure the attributes of each group. The below chart shows the 20 day volatility of the counter cyclical basket of stocks relative to the cyclical basket. What we are observing is that these two baskets of stocks are exhibiting nearly the same volatility, even though the underlying risk characteristics of the groups are vastly different. In the past, peaks in relative volatility have often coincided with market tops of some significance.