Market Metrics and Trends

A Look at Monthly Volatility and Equity and Options Volumes: February 2021

On average in February, markets (in terms of S&P 500 price) were up 20.7% to the 2020 average, on top of a 10.5% Y/Y rise in 2020. Average volumes for the month included: multi-listed options +47.2% to the 2020 average (+52.5% Y/Y in 2020); and equities +40.0% to the 2020 average (+55.4% Y/Y in 2020). These higher than historical volume levels come as volatility began to settle to start of the year, with the monthly average -20.9% to the 2020 average (the VIX increased +90.1% Y/Y in 2020 on average).

In this report, we highlight the monthly market trends for volatility, price and volumes.

Monthly Metrics

  • Volatility (VIX): Monthly average 23.14 (-20.9% to 2020), peak 30.24 on the 1st
  • S&P 500 (Price): Monthly average 3,883.43 (+20.7% to 2020), peak 3,934.83 on the 12th
  • Equity ADV (billion shares): Monthly average 15.3 (+40.0% to 2020), peak 18.9 on the 10th
  • Options ADV (million contracts): Monthly average 42.8 (+47.2% to 2020), peak 46.4 on the 25th

Monthly Trend Highlights

  • Where do we stand with the level of equities off-exchange trading? January average 47.2% and February 46.6%, versus 41.5% in 2020 and 37.3% in 2019. Currently a downward sloping trend for the year, but there have already been four days above the 50% threshold in the first two months of this year versus only one all of last year. More to be written in this story…

 

Author

Katie Kolchin, CFA
Director of Research
SIFMA Insights