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Market Metrics and Trends

A Look at Monthly Volatility and Equity and Options Volumes

Monthly Metrics

  • Volatility (VIX): Monthly average 17.82; -17.7% M/M, -26.9% Y/Y
  • S&P 500 (Price): Monthly average 4,121.47; +3.9% M/M, -6.1% Y/Y
  • Performance (month/year): best = communications/comms +3.0%/+24.5%; worst = energy/financials -1.6%/-3.2%
  • Equity ADV: Monthly average 10.3 billion shares; -17.4% M/M, -12.1% Y/Y
  • Options ADV: Monthly average 39.4 million contracts; -12.6% M/M, +2.5% Y/Y

Monthly Highlight

  • Over the last year, it seems all that matters to markets is the Fed. The S&P 500 dropped 13.1% from start ‘22 to April ‘23 but is +16.6% from the trough. We attempted to identify a pattern between market price & rate hikes.
  • FOMC Day (day of the FOMC meeting vs. two weeks prior): Prices decreased six out of nine times. However, the declines range from -0.7% to -7.6%.
  • 2 Weeks After (price two weeks after the FOMC meeting vs. two weeks prior): Prices increased five out of nine times. Again, the range is wide, from +2.5% to +10.7%.
  • Price moves do not even match across similar rate hikes – for the four 75 bps rate hikes, the S&P 500 decreased two times but also increased twice
  • Alas, no pattern. What does seem to be clear is that markets keep pushing through Fed actions.
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Listen to Highlights from the Report
Katie Kolchin, CFA, author of SIFMA Insights and head of SIFMA Research, walks us through the highlights of this month’s Market Metrics & Trends report in this audio byte:

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Author

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

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