Market Metrics and Trends

Monthly Metrics

Volatility (VIX): Monthly average 13.79; -1.1% M/M, -36.3% Y/Y
S&P 500 (Price): Monthly average 5,170.57; +3.2% M/M, +30.3% Y/Y
Performance (month/year): best = energy/comms +9.1%/+16.6%; worst = cons disc/real estate -0.4%/-2.3%
Equity ADV: Monthly average 12.0 billion shares; +2.5% M/M, -3.8% Y/Y
Options ADV: Monthly average 46.1 million contracts; -3.3% M/M, +2.4% Y/Y

Monthly Highlight

The VIX had normalized in 2023, returning more in line with historical levels. That trend continues in 2024. YTD, the VIX has averaged 13.71, -18.6% Y/Y, -10.9% to pre COVID levels, and -39.2% to 2010 levels.
The picture is not as clear when looking at a daily VIX chart. From through the end of March this year, the trendline is actually flat, becoming downward sloping from mid-2020 to the end of March this year.
Could the lower averages be benefiting from lower lows and smaller spreads between peaks and troughs? YTD, the 12.44 minimum is +3.1% Y/Y but lower than the early post COVID levels. The spread between peaks and troughs is much lower than historical levels (3.41 YTD), -88.8% to 2010, -75.5% to 2019, and -76.4% Y/Y.
Volatility appears to be settling down to a lower normalized level. That said, risks and upcoming events exist – geopolitical, economic soft landing or not, election – which could shift volatility patterns.

Featured Charts

Katie Kolchin, CFA
Managing Director, Head of Research
SIFMA Insights

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