Market Metrics and Trends

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

On average in March, markets (in terms of S&P 500 price) were up 21.5% to the 2020 average, on top of a 10.5% Y/Y rise in 2020. Average volumes for the month included: multi-listed options +32.7% to the 2020 average (+52.5% Y/Y in 2020); and equities +22.3% to the 2020 average (+55.4% Y/Y in 2020). While volumes remain elevated to historical levels, they have come down since the start of the year. Volatility has settled since the start of the year as well, with the monthly average -25.3% 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 21.84 (-25.3% to 2020), peak 28.57 on the 4th
  • S&P 500 (Price): Monthly average 3,910.54 (+21.5% to 2020), peak 3,974.54 on the 26th
  • Equity ADV (billion shares): Monthly average 13.4 (+22.3% to 2020), peak 18.6 on the 4th
  • Options ADV (million contracts): Monthly average 38.5 (+32.7% to 2020), peak 53.9 on the 4th

Monthly Trend Highlights

  • We thought it would be interesting to put some numbers and charts around the disconnect between markets and the real world. Economic data shows the divergence between performance of goods versus services, with sectors like accommodation hard hit. Yet, >85% of the T10 stocks in the S&P 500 are technology plays, driving markets higher on aggregate.

 

Author

Katie Kolchin, CFA
Director of Research
SIFMA Insights