Market Metrics and Trends

A Look at Monthly Volatility and Equity and Options Volumes

Monthly Metrics

  • Volatility (VIX): Monthly average 15.85; +13.7% M/M, -28.5% Y/Y
  • S&P 500 (Price): Monthly average 4,457.36; -1.1% M/M, +7.2% Y/Y
  • Performance (month/year): best = energy/comms +1.7%/+44.1%; worst = utilities/utilities -5.5%/-11.4%
  • Equity ADV: Monthly average 10.5 billion shares; +0.5% M/M, -0.5% Y/Y
  • Options ADV: Monthly average 43.5 million contracts; +1.8% M/M, +11.7% Y/Y

Monthly Highlight

  • Every August, Fed Chair Powell delivers a speech on the outlook for monetary policy at the Jackson Hole Economic Symposium. This note looks at the different market interpretations of Chair Powell’s tone in his annual speech and the corresponding reaction by investors over the last two years.
  • 2022 – Bring the Pain: The next day after the speech, the S&P 500 declined 3.4%. The decline would continue, ending August down 5.8% from the day prior to the speech and -17.5% to the start of the year. For 2022, the S&P 500 declined 20.0% from start to finish, from 4,796.56 to 3,839.50.
  • 2023 – Navigating by Stars Under Cloudy Skies: The day after the speech, the S&P 500 increased 0.7%. Markets continued to climb, closing out August +3.0% to the day prior to the speech and +17.9% to the start of the year. For 2023, the S&P 500 has had an upward trajectory, from 3,824.14 at the start of the year to 4,507.66 to end August.

 

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Author

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