Market Metrics and Trends

A Look at Monthly Volatility and Equity and Options Volumes

Listen to report:
In this report, we highlight monthly market trends for volatility, price and volumes:

Monthly Metrics

  • Volatility (VIX): Monthly average 44; -7.0% M/M, +2.0% Y/Y
  • S&P 500 (Price): Monthly average 3,912.38; -0.1% M/M, -16.3% Y/Y
  • Performance (month/year): best = utilities -0.8%/energy +59.0%; worst = cons disc -11.3%/comms -40.4%
  • Equity ADV (billion shares): Monthly average 8 billion shares; -4.0% M/M, -0.5% Y/Y
  • Options ADV (million contracts): Monthly average 40.3 million contracts; -6.4% M/M, +6.7% Y/Y

Monthly Highlight

  • Rates. Recession. Add in the Russia/Ukraine war and China’s zero-COVID policy. The result was the S&P 500 posted its worst year since 2008, -20.0% from start to end of year
  • On a Y/Y basis, the S&P 500 remained positive for the first four months of the year, turning negative in May and closing out December at -16.3%. On a M/M basis, only three months were positive for the year
  • Economic factors dragged on all sectors – only energy posted a positive return for the year. Rising rates weighed more heavily on highly weighted sectors such as technology (25.7% weight)
  • These sectors showed significant declines over concerns around rising rates and the impact on future earnings: tech -25.7%, consumer discretionary -37.6%, comms -40.4%

 

 

Author

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