The SIFMA Podcast: Digging into the SIFMA Insights Market Structure Compendium

In this episode of The SIFMA Podcast, SIFMA’s President & CEO, Kenneth E. Bentsen, Jr., sits down with Katie Kolchin, Managing Director and Head of Research for SIFMA, to dig into equity and related market performance and what’s in store for 2023.


Edited for clarity

Ken: Hello and thank you for joining us for this episode of The SIFMA Podcast. I am Ken Bentsen, president and CEO of SIFMA and your host.

After two boom years for capital markets coming out of COVID, last year we saw a complete reversal, with some capital markets businesses down around 90%. Today, we’re going to dig into equity and related market performance and find out what a difference a year makes. We’ll also discuss what’s in store for 2023.

I am pleased to be joined by Katie Kolchin, Managing Director and Head of Research for SIFMA and author of SIFMA Insights. Katie just published her annual Market Structure Compendium. This comprehensive report recaps last year’s market metrics for volatility, stock market performance, equity volumes, off-exchange trading levels, ETF volumes, multi-listed options volumes, and capital formation trends. It also highlights key themes seen last year across each of these segments. The report concludes with a survey of SIFMA’s equity markets and listed options trading committees, as well as representatives of U.S. equity and multi-listed options exchanges. In this section, survey respondents were asked about where they saw 2023 market metrics heading, as well as their views on retail investor participation.

The report really does contain a treasure trove of data. Thank you for joining us, Katie.

Katie: Thank you for having me, Ken.

Ken: As you state in the report, issuance essentially shut down last year. Markets began transitioning.

Katie: That’s right, Ken. The move away from 0% interest rates was well underway, as the Fed continued – and continues in 2023 – to raise the Fed Funds rate. This in turn caused a revaluation of financial assets, and, with the end game uncertain, market participants were asking what should be the intrinsic value of many assets. As such, the S&P 500 dropped 20.0% last year.

Ken: So what does 2023 hold for capital markets? Many economists and market participants expect the U.S. to enter a recession this year – albeit a mild one – and the debate continues as to whether or not this is appropriately baked into markets.

Katie: Yes. Market participants are certainly trying to figure out what the new normal will be. Traders and investors remain nervous about how to navigate markets over the next few months, or where to put their money to work.

Ken: With that, let’s dive right into the insights you uncovered in this report. What trends did you see in stock markets last year?

Katie: We’ve been writing this a lot lately – inflation, rates, recession. Sprinkle on top of that the Russia/Ukraine war creating oil price shocks and China’s zero-COVID policy continuing to wreak havoc on supply chains. Mix this all together, and you get all four major stock indexes closing down for the year. In fact, the S&P 500 posted its worst year since 2008, -20.0% from start to end of year.

The interest rate reset really hit markets last year. This was really shown in the Nasdaq. This index is more heavily weighted in technology stocks, whose valuations are more severely impacted by rising interest rates. As such, this index declined 34% from start to end of year.

Technology was the worst performing sector in the S&P 500, -25.7% from start to end of year. there was so much red last year that energy was the only positive performing sector for the year, +59.0%.

Ken: And what did you note about volatility, as measured by the VIX?

Katie: We did not see negative numbers here, and, of course, in the case of volatility, a negative would be considered a positive. The VIX averaged 25.63 for the year, +30.4% Y/Y. While down from the COVID era peak of 29.25 on average, it remained elevated to historical levels, ranking as the 6th highest year for the VIX since 1990. This was behind only the global financial crisis, peak COVID, and dotcom bubble burst years.

Looking across the last two years, the average VIX increased in 2022, after 2021 saw a decline from the 2020 market turmoil year. While 2022 experienced a lower peak than the prior year, it also saw a higher trough. And the differentials tell the story – 2022’s peak was 2% lower but the trough, or volatility floor, was almost 11% higher. The new normal for the VIX appears to be creeping up.

2022 also experienced many more daily spikes than the prior year, remaining higher for longer. 130 days with a daily VIX greater than 25.00 – roughly the average for the year – represents 51.8% of the year at these higher levels. Could a VIX in the mid-20s be the new normal?

Ken: Interesting. Market participants are also searching for the new normal in equity markets. What trends did you see here last year?

Katie: Average daily volume, or ADV, for equities in 2022 was 11.9 billion shares, +4.1% Y/Y. The pattern for equity ADV in the COVID era is now: +55.4% Y/Y in 2020; +4.4% in 2021; and then the +4.1% in 2022. We have seen increases in average volumes every year since COVID struck, albeit at slowing paces. It appears equity ADV could continue to climb if not at least remain at these elevated levels.

Interestingly, while the growth rate for the annual averages were in line for the last two years, over 4%, the other markers have come down. Both the 2022 peak and trough were lower than the prior year. The ADV pattern is remaining more solidly in the 10-11 billion shares traded range, i.e. sticking around the mean.

Looking at the patterns of daily spikes in equity ADV, 2022 experienced many more daily spikes than the prior year. In general, it remained higher for longer. 221 days with a daily volume greater than 10 billion shares represents 88.0% of the year at these higher levels. This was on top of the 2021 trend, with 63.1% of days trading over 10 billion shares. Could equity ADV in the 11-12 billion shares range – or at least steadfastly greater than 10 billion shares – be the new normal?

Ken: Before we move onto the survey – and we already touched on the complete reversal in capital formation in the intro – do you have anything else to add in this area?

Katie: In last year’s report, we spoke too soon about the direction of the IPO cycle. 2022 was a rough year for IPOs. To highlight – or should we say lowlight – how the 2022 deal value of $8.5 billion compared to average historical levels across the decades, 2022 was -83.0% to the full time series average of $50.1 billion and -92.9% to the COVID Era average of $119.5 billion.

Looking forward, the IPO pipeline – deals announced but not yet closed – total in 2022 was $3.3 billion. Best case scenario, summing all of the deals announced but not closed since 2019, there is $6.0 billion sitting in the pipeline, at least on paper.

Also, after seeing an explosion of SPACs during the COVID era – 2020-2021 deal value averaged $123.0 billion, 53.3x the historical average and 10.7x the three years prior to COVID average the SPAC party came to a stop in 2022, as deal value dropped to $13.1 billion, -91.9% Y/Y. We estimate that there were around $20 billion in SPACs announced in 2021 that never closed.

But to leave this section on a happy note, the number of listed companies remained above the 6,000 level – a hurdle we’ve struggled to get back over since the early 2000s. The 2022 number was 6,240, +0.4% Y/Y.  

Ken: Now let’s shift to the forward looking view. Can you walk us through the results from our market structure survey, our outlook for 2023 of sorts.

Katie: As we stated earlier in this report, what a difference a year makes. The majority of survey respondents expect markets to decline somewhat further as we move through the year – with 51.2% of responses – whereas last year respondents were mixed between expanding at a slower pace and declining somewhat. Not surprisingly, the top risks this year to both the upside and the downside were: inflation, monetary policy, and geopolitical events. While inflation and monetary policy were listed last year, positioning shifted across surveys, and geopolitical was a new entrant to the top three.

Survey respondents’ expectations for both the VIX and equity ADV have increased since the last survey, with few people expecting a return to historical levels for either.

  • VIX is expected to be in the 20-25 range, with 53.7% of responses
  • Equity ADV is expected to be in the 10-15 billion shares range, with 63.4% of responses

Finally, we asked survey respondents about retail investor participation. In equities, there was no change in responses. The estimate remains in the 20-30% range, with 61.5% of respondents. Going forward expectations to decrease somewhat, with 50.0% of respondents.

In options, respondents’ estimates for participation dropped about 10 pps, as projected in last year’s survey. The estimate is now in the 20-30%, with 48.6% of respondents. Going forward expectations to remain about the same, 35.9% of respondents. Last year, respondents replied this level would drop going forward, and they appear to be right.

Ken: With that, I think we covered the highlights of the report. Thank you again Katie for the insights. And thank you to the listeners for joining us today – I really do encourage you to view the report. We like to think that if there’s a data point people are interested in, it is in this report. To read the entire report, please visit

Kenneth E. Bentsen, Jr. is President and CEO of SIFMA. Mr. Bentsen is also Chair of the International Council of Securities Associations (ICSA), Co-Chair of the British American Finance Alliance (BAFA)

Katie Kolchin, CFA is Managing Director, Head of Research for SIFMA and the author of SIFMA Insights.