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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…
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Author

Katie Kolchin, CFA
Director of Research
SIFMA Insights

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