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

In this monthly report, SIFMA looks at market metrics and trends for volatility, price and volumes.

Inflation. Rates. Recession. Add in the Russia/Ukraine war and China’s zero COVID policy. The result was the S&P 500 posted its worst year since 2008, -20.0% from start to end of year. Economic factors dragged on all sectors – only energy posted a positive return for the year. Rising rates weighed
more heavily on highly weighted sectors such as technology (25.7% weight). In December:

• Volatility (VIX): Monthly average 44; -7.0% M/M, +2.0% Y/Y
• S&P 500 (Price): Monthly average 3,912.38; -0.1% M/M, -16.3% Y/Y
• Performance (month/year): best = utilities -0.8%/energy +59.0%; worst = cons disc -11.3%/comms -40.4%
• Equity ADV (billion shares): Monthly average 8 billion shares; -4.0% M/M, -0.5% Y/Y
• Options ADV (million contracts): Monthly average 40.3 million contracts; -6.4% M/M, +6.7% Y/Y

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