Market Metrics and Trends

A Look at Monthly Volatility and Equity and Options Volumes

Market Metrics

  • Volatility (VIX): Monthly average 18.21; -11.0% M/M, +43.7% Y/Y
  • S&P 500 (Price): Monthly average 6,029.95; +3.8% M/M, +11.4% Y/Y
  • Performance (month/year): Best = Tech/Ind +9.7%/+12.0%; worst = Cons S/Cons D, -2.2%/-4.2%
  • Equity ADV: Monthly average 18.2 billion shares; +3.7% M/M, +53.6% Y/Y
  • Options ADV: Monthly average 53.8 million contracts; -1.0%, +15.4% Y/Y

Market Musings

  • Markets continue to show resilience after the April decline, posting a record S&P 500 level of 6,204.95 at the end of the month, +5.5% YTD.
  • Volatility was muted, with the VIX peaking at only 21.60 against April’s 52.33, -43.0% vs. April and -2.2% to pre-April. Volumes were a mixed bag: equity ADV -5.6% to April/+16.3% pre; options -9.0% to April/-5.3% pre.
  • Trade policy concerns continue to weigh on the USD, with the DXY (dollar index) -2.5% in June and 10.7% YTD. USD/EUR (reverse spot) -3.7% in June and -12.2% YTD.
  • Price level indicators show stability amidst inflationary worries: CPI and Core CPI both show declines from February to April and only a slight uptick from April to May.

 

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Author

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