Market Metrics and Trends

A Look at Monthly Volatility and Equity and Options Volumes

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

Monthly MetricsVolatility (VIX):

  • Volatility (VIX): Monthly average 29.45; +20.8% M/M, +49.0% Y/Y
  • S&P 500 (Price): Monthly average 4,040.36; -8.0 M/M, -2.9% Y/Y
  • Equity ADV (billion shares): Monthly average 13.2; +12.4% M/M, +24.2% Y/Y
  • Options ADV (million contracts): Monthly average 40.5; +5.3% M/M, +14.2% Y/Y

Monthly Highlight

  • The S&P 500 index continues to decline, with the index now marking the worst start to the year for markets since 1970: actual price -664.41 points, -14%; target price -195.06 points, -4%.
  • Despite all the negativity in economic data and markets, equity strategists expect the S&P 500 to be in the low 5,000 range in 12 months’ time, a >200% increase vs. YTD average price (& LY’s total average price).
  • Best/worst performing sector for the month: energy +15.0% / real estate -5.1%
  • Best/worst performing sector for the year: energy +55.7% / consumer discretionary -24.9%

 

Author

Katie Kolchin, CFA
Director of Research
SIFMA Insights