Market Metrics and Trends

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

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

Monthly Metrics

  • Volatility (VIX): Monthly average 21.35; +15.4% M/M, -4.6% Y/Y
  • S&P 500 (Price): Monthly average 4,674.77; +0.2% M/M, +26.5% Y/Y
  • Equity ADV (billion shares): Monthly average 10.8; -2.3% M/M, -1.5% Y/Y
  • Options ADV (million contracts): Monthly average 37.8; -15.0% M/M, +12.0% Y/Y

Monthly Trend Highlights

With the close of 2021, we analyze how the market overall and individual sectors performed. As we entered the second half of the year, market participants’ concerns grew around inflation and their estimates of the timeline for the Fed to begin raising interest rates moved up earlier into 2022. Additionally, market participants had to digest two waves of COVID variants (Delta, Omicron) and what this could mean for a full return to (the new) normal. Despite this, all sectors finished the year strong, with annual returns ranging from the mid-teens to almost +50%. Markets as a whole, as measured by the SPX, increased 26.9% for the year. We further note that six of the eleven sectors – and the total index – experienced lower annual returns in the second half. For example, the SPX grew 14.4% in 1H21, slowing to +10.9% in 2H21.

Highlights include:

  • The SPX increased almost 27% Y/Y; the SPX and 6 of 11 sectors had lower returns in the second half of the year (SPX +14.4% in 1H21 and +10.9% in 2H21)
  • Top sector = energy at +47.7%; worse sector = utilities at +14.0%; technology “only” +33.4% in 2021 (vs. +48.0% in 2019)
  • SPX 2022 upside potential +9.3%; energy estimated to lead at +22.3%, real estate at the bottom at +1.3%, technology to fall to the #6 from the #3 ranking



Katie Kolchin, CFA
Director of Research
SIFMA Insights