SIFMA Insights: Market Metrics & Trends - Equity Volumes, Options Volumes, And Volatility

In this monthly report, we look at market metrics and trends for volatility, price and volumes.

Markets are closely watching inflation releases and the path back down to the Fed’s 2% target. Looking at market reactions to inflation data and using the S&P 500 (SPX Index) as a proxy there is a clear downward-sloping trend for the year. In November:

• Volatility (VIX): Monthly average 23.44; -21.9% M/M, +26.7% Y/Y
• S&P 500 (Price): Monthly average 3,917.49; +5.1% M/M, -16.1%Y/Y
• Performance (month/year):best = energy +24.8%/energy +63.2%; worst = comms -0.1%/comms -39.5%
• Equity ADV (billion shares): Monthly average 11.2; -2.2% M/M, +1.3% Y/Y
• Options ADV (million contracts):Monthly average 43.1; +1.3% M/M, -3.1%Y/Y

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