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.


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