Market Structure Compendium

Recapping 2021 Market Metrics & Looking to 2022 with Our Market Structure Survey

Executive Summary

Almost two years after the COVID-driven peak in market turmoil, the U.S. economy and markets were humming along nicely. Even as inflation remained elevated – December CPI +7.1%, core CPI +4.9% – markets continued to climb on strong company fundamentals. The S&P 500 index ended 2021 up 32.8% versus the prior year. Companies had strong balances sheets, which they were able to shore up in 2020 with $2.3 billion in corporate bond issuance. This helped them weather the COVID-driven storm and post good earnings results in 2021, driving equity markets higher.

Equity capital formation had another banner year, with IPO deal value (excluding SPACs) at $153.1 billion, +79.2% Y/Y (# deals 393, +88.0%). This increase came on top of a very strong IPO year in 2020, with $85.4 billion in deal value, +75.1% Y/Y (# deals 209, +38.4%). These two strong years for IPOs reversed the long-term decline seen since the early 2000s. In fact, the $153 billion this year beats the 1999 and 2000 peak years of around $107 billion by +43.0%. We have also seen a reversal in the trend for number of listed companies, ending the year at 6,203, +20.2% Y/Y. This brings us back to levels not seen since 2002.

While not the same as seen at the COVID peak, markets were not without their drama last year. In January, meme stock GameStop (ticker: GME) jumped to a $350 price from $17.25 to start the year, driven by excitement of investors on the WallStreetBets investor forum. This in turn drove up volatility, with the VIX peaking at 37.21 on January 27 and posting a 24.91 average for the month, up from 22.37 in December (+49.4%). Equity volumes increased as well, finishing January with an ADV of 15.6 billion shares, the same as seen in March 2020 and up from 11.0 billion in December (ADV peaked on January 27 at 24.5 billion shares).

Although markets settled from the start of the year, volumes and volatility remained elevated to historical levels, and market participants expect this to continue. Inside this report, we first recap 2021 market metrics for volatility, market performance, volumes (equities, off-exchange trading, ETFs, and listed options), and capital formation. We also highlight key themes seen across each of these sectors. We then look ahead to 2022, gauging what could be the new normal with results from our market structure survey.

Report Highlights

Market Metrics (2021 average, Y/Y change)

  • Volatility & Volumes: VIX 19.66, -32.8%; equity ADV 11.4B shares, +4.4%; listed options ADV 38.7M contracts, +33.1%
  • Markets: S&P 500 4,272.97, +32.8%; DJIA 34,055.29, +26.6%; Nasdaq 14,371.66, +40.9%;
    Russell 2000 2,242.89, +47.2%
  • Capital Formation: total $435.8B, +11.6%; secondaries $224.7B, -13.0%; preferreds $58.0B, +24.4%;
    IPOs $153.1B, +79.2%; SPACs $162.4B, +94.9%;

Market Structure Survey

  • Volatility & Volumes estimates: VIX high teens-low 20s (49.0% of responses); Equity ADV ~10B shares (74.0% of responses); listed options ADV mid-high 30s (52.1% of responses)
  • Markets estimates: tie b/t continue to expand at a slower pace and decline somewhat (38.0% of responses each); upside risks The Fed, COVID, inflation; downside risks inflation, the Fed, regulation
  • Retail Investor participation estimates: Equities 20-30% both years (58.3% of responses); options 30-40% (48.9% of responses); $0 commissions #1 factor for growth and maintaining





Katie Kolchin, CFA
Director of Research