Market Metrics and Trends

Monthly Metrics

Volatility (VIX): Monthly average 19.31; 33.5% M/M, +21.8% Y/Y
S&P 500 (Price): Monthly average 5,478.21; -1.1% M/M, +22.9% Y/Y
Performance (month/year): best = cons staples/tech +5.8%/+26.5%; worst = energy/cons disc -2.3%/+5.8%
Equity ADV: Monthly average 11.5 billion shares; +2.3% M/M, +9.0% Y/Y
Options ADV: Monthly average 47.0 million contracts; -3.4% M/M, +8.1% Y/Y

Monthly Highlight

Unwinding of the USD-JPY carry trade: On July 31, the Bank of Japan unexpectedly raised its rate 25 bps, ending its longstanding zero rate policy. The Japanese yen (JPY) appreciated, triggering the unwinding of the carry trade.
U.S. economic data scare: July nonfarm payrolls came in below expectations, and the unemployment rate reached 4.3%. This fueled fears of a hard landing and triggered the Sahm Rule.
Markets fell/volatility spiked: The S&P 500 began August -1.4% from the prior day and fell another 3.0% after the jobs report, bringing the total decline since the end of July to 6.1%. The VIX began August up 13.6% from the prior day and rose another 64.9% after the jobs report, bringing the total increase since the end of July to 135.8%.
The event was short lived: Calming commentary from the Bank of Japan and better U.S. economic data led to a market recovery and settling of volatility. The S&P 500 ended August up 8.9% from its trough. The VIX ended August down 61.1% from its peak.

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

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