Market Structure Download: Post-Election Update

Where We’re at with Volumes and Volatility

Executive Summary

With the passing of the U.S. presidential election, we wanted to update market metric trends we have followed throughout the year for volatility, equities and options. While we have seen a settling of volatility, albeit still elevated to historical levels, volumes continue to hover around 50% higher than normal levels. Much of this is attributed to the boom in retail investing. The portion of retail investing of total equities volumes is now estimated at 25%, versus around 10% historically. In multi-listed options volumes, around 50% of the growth in volumes this year is attributed to retail investors. While the jury is still out on volume sustainability among retail investors, market participants acknowledge a growing sophistication of this investor type. There is a growing use of risk management tools among this group, which contributes to options volumes growth in particular.

Inside this note, we analyze (as of November 11):

  • Volatility Update – VIX YTD 30.31, +97.0% to FY19 average; November 28.59, +85.8% to the FY19 average but -50.5% to the March peak
  • Volumes Update
    • Equity ADV – YTD 10.9 billion shares, +54.9% to FY19 average; November 11.2 billion shares, +59.8% to the FY19 average but -28.2% to the March peak
    • Options ADV – YTD 28.3 million contracts, +48.7% to FY19 average; November 32.5 million contracts, +70.4% to the FY19 average and marking a new monthly average peak (to date)
  • Market Performance Update
    • S&P 500 – Currently 3,572.66; +59.7% to the March 23 trough of 2,237.40
    • Dow Jones – Currently 29,397.63; +58.1% to the March 23 trough of 18,591.93
    • Nasdaq – Currently 11,786.43; +71.8% to the March 23 trough of 6,860.67
    • Russell 2000 – Currently 1,736.94; +75.2% to the March 18 trough of 991.16




Katie Kolchin, CFA
Director of Research
SIFMA Insights