Market Metrics and Trends

A Look at Monthly Volatility and Equity and Options Volumes

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

 

Monthly MetricsVolatility (VIX):

  • Volatility (VIX): Monthly average 24.87; -11.5% M/M, +41.3% Y/Y
  • S&P 500 (Price): Monthly average 3,911.73; +0.3 M/M, -10.4% Y/Y. Performance (month/year): best = consumer discretionary +18.9%/energy 41.6%; worst = consumer staples +3.1%/communications -28.0%
  • Equity ADV (billion shares): Monthly average 10.7; -15.8% M/M, +10.3% Y/Y
  • Options ADV (million contracts): Monthly average 36.4; -3.9% M/M, -2.9% Y/Y

Monthly Highlight

  • Market Performance Factor: Inflation – June CPI +9.0%, PCE +6.8%; CPI, food, energy, gas, shelter, & rent at peak levels vs. core CPI, commodities, lumber, & used cars/trucks down from the peak; 2Q22 wages +5.0% Y/Y; avg. monthly rents $2,016 in June, +27.0% to 2020, +6.6% YTD
  • Market Performance Factor: Oil Price – Brent Crude oil peaked on Mar 8 at $127.98, +147.1% to 2021; closing the month at $110.01, Brent is -14.0% to the peak but +112.4% to 2021
  • Market Performance Factor: Earnings – 60.5% of S&P 500 companies reported positive top line surprises & 73.7% reported bottom line surprises

 

Author

Katie Kolchin, CFA
Director of Research
SIFMA Insights