Market Metrics and Trends

A Look at Monthly Volatility and Equity and Options Volumes

Monthly Metrics

  • Volatility (VIX): Monthly average 14.06; -19.1% M/M, -26.0% Y/Y
  • S&P 500 (Price): Monthly average 5,235.23; +2.4% M/M, +26.3% Y/Y
  • Performance (month/year): best = tech/comms +11.4%/+21.5%; worst = cons discretionary/real estate +0.2%/-6.3%
  • Equity ADV: Monthly average 12.5 billion shares; +13.7% M/M, +17.1% Y/Y
  • Options ADV: Monthly average 43.2 million contracts; -4.9% M/M, +2.7% Y/Y

Monthly Highlight

  • We are now living in a T+1 world. As such, we thought it would be interesting to look at volumes and volatility
    heading into the transition.
  • Volumes: May 28 saw 12.3 billion shares traded; -1.2% to the monthly average, -32.4% to the monthly peak. The
    average for the week excluding the elevated Friday level (for end of month rebalancing) was 12.5 billion shares, in
    line with the prior week average.
  • Volatility: The VIX on May 28 was 12.92; -1.1% to the monthly average, -16.0% to the monthly peak. The average
    VIX for the week was 13.39, +9.8% from the prior week average. However – and quite interesting – the VIX settled
    back down on Friday to the same level it started the week, 12.92.
  • Success.


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