Market Metrics and Trends

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

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

Monthly Metrics

  • Volatility (VIX): Monthly average 17.48; -0.7% M/M, -23.6% Y/Y
  • S&P 500 (Price): Monthly average 4,453.66; +2.1% M/M, +31.3% Y/Y
  • Equity ADV (billion shares): Monthly average 9.0; -7.6% M/M, -2.5% Y/Y
  • Options ADV (million contracts): Monthly average 36.0; -4.0% M/M, +5.3% Y/Y

Monthly Trend Highlights

As we head into fall and the final months of the year, we thought it would be interesting to review our market structure survey results, published in May: actual VIX in line with survey estimate; actual equity ADV outpacing survey estimate by 14.5%; and actual level listed options ADV outpacing survey estimate by 22.6%. The majority of respondents expected markets to continue to expand, with most in this group anticipating a slower growth rate, which is what we are experiencing.

 

Author

Katie Kolchin, CFA
Director of Research
SIFMA Insights