SIFMA Insights - Monthly Market Metrics and Trends ...

Monthly Market Metrics

SIFMA Insights

September Market Metrics and Trends

A Look at Monthly Volatility and Equity and Listed Options Volumes

October 2021

Monthly Metrics

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Volatility (VIX): Monthly average 19.82; +13.4% M/M, -28.3% Y/Y

S&P 500 (Price): Monthly average 4,445.54; -0.2% M/M, +32.1% Y/Y

Equity ADV (billion shares): Monthly average 10.6; +17.6% M/M, +5.5% Y/Y

Options ADV (million contracts): Monthly average 38.1; +5.9% M/M, +21.9% Y/Y

Monthly Highlight

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SIFMA Insights

Looking at market shares by exchange from 2019 to YTD, for the most part the ¡°older¡± exchanges seem to

be yielding share to the ¡°younger¡± ones (ex: MIAX Emerald opened in 2019 and has gained 3.2 pps; Cboe

opened in 1973 and has lost 8.2 pps). While it is unclear if this trend will continue, we look forward to

watching the continued dog fight for market share in the options world.

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Monthly Market Metrics

Monthly Market Metrics

In this section, we highlight the monthly market trends for volatility, price, and volumes.1

Volatility (VIX)

? Monthly average 19.82

o +13.4% M/M

o -28.3% Y/Y

o -20.4% from the start of the year (January monthly average)

? Monthly peak on the 20th at 25.71, troughed on the 1st at 16.11

Average Monthly Volatility (VIX)

35

29.25

30

27.65

29.44

25.00

25

24.91

22.37

23.14

21.84

19.79

19.82

19.76

20

17.42

15.39

17.60

16.96

17.48

15

10

5

Sep21

Aug21

Jul21

VIX

The VIX's 2021 Journey

41

Jun21

May21

Apr21

Mar21

Feb21

Jan21

Dec20

Nov20

Oct20

Sep20

YTD

FY20

FY19

0

Trendline

37.21

38

35

32

28.89

27.59

29 26.97

25.71

26

20

22.50

21.58

23

21.56

20.70

23.14

21.67

19.97

17

16.25

16.76

16.11

1/4/21

1/11/21

1/18/21

1/25/21

2/1/21

2/8/21

2/15/21

2/22/21

3/1/21

3/8/21

3/15/21

3/22/21

3/29/21

4/5/21

4/12/21

4/19/21

4/26/21

5/3/21

5/10/21

5/17/21

5/24/21

5/31/21

6/7/21

6/14/21

6/21/21

6/28/21

7/5/21

7/12/21

7/19/21

7/26/21

8/2/21

8/9/21

8/16/21

8/23/21

8/30/21

9/6/21

9/13/21

9/20/21

9/27/21

14

Source: Bloomberg, SIFMA estimates

1

Please see SIFMA Insights: A Look Back at 2020 Market Structure Themes for a deep dive on last year¡¯s market metrics

SIFMA Insights

Page | 2

Monthly Market Metrics

Index Price (S&P 500)

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Monthly average 4,445.54

o -0.2% M/M

o +32.1% Y/Y

o +17.2% from the start of the year (January monthly average)

Monthly peak on the 2nd at 4,536.95, troughed on the 30th at 4,307.54

5,000

Average Monthly Price - S&P 500

4,500

4,238.49

4,141.18

4,163.00

4,160.93

4,453.66

4,445.54

4,363.71

3,883.43 3,910.51

4,000

3,793.75

3,695.31

3,418.70 3,548.99

3,500

3,365.52

3,217.86

3,000

2,913.36

Price

2021 Journey - S&P 500

Sep21

Aug21

Jul21

Jun21

May21

Apr21

Mar21

Feb21

Jan21

Dec20

Nov20

Oct20

Sep20

YTD

FY20

FY19

2,500

Trendline

4,536.95

4,600

4,500

4297.5

4,400

4,300

4185.47

4,387.16

4,202.50

4,307.54

4,200

4,100

3,900

4166.45

3,974.12

4,000

4,058.75

3,853.07

3,800

3,768.47

1/4/21

1/11/21

1/18/21

1/25/21

2/1/21

2/8/21

2/15/21

2/22/21

3/1/21

3/8/21

3/15/21

3/22/21

3/29/21

4/5/21

4/12/21

4/19/21

4/26/21

5/3/21

5/10/21

5/17/21

5/24/21

5/31/21

6/7/21

6/14/21

6/21/21

6/28/21

7/5/21

7/12/21

7/19/21

7/26/21

8/2/21

8/9/21

8/16/21

8/23/21

8/30/21

9/6/21

9/13/21

9/20/21

9/27/21

3,700

3,700.65

3,600

Source: Bloomberg, SIFMA estimates

SIFMA Insights

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Monthly Market Metrics

Equity Volumes (ADV)

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Monthly average 10.6 billion shares

o +17.6% M/M

o +5.5% Y/Y

o -32.1% from the start of the year (January monthly average)

Monthly peak on the 17th at 16.1 billion shares, troughed on the 3rd at 8.4 billion shares

Monthly average off exchange trading 41.9%; -1.1 pps M/M, +1.5 pps Y/Y, -5.3 pps from January

Equities Monthly ADV (B shares)

18

15.6

16

15.3

13.4

14

12

10.9

11.6

11.3

10.0

10

11.0

9.9

9.1

10.6

11.1

9.7

10.6

9.0

7.0

8

6

4

2

30

Equities 2021 Journey

ADV (B shares)

Sep21

Aug21

Jul21

Jun21

May21

Apr21

Mar21

Feb21

Jan21

Dec20

Nov20

Oct20

Sep20

YTD

FY20

FY19

0

Trendline

24.5

25

18.9

20

17.6

16.4

15

12.8

13.1

13.1

12.2

14.5

10

16.1

10.4

12.4

8.8

8.4

8.2

8.1

8.4

1/4/21

1/11/21

1/18/21

1/25/21

2/1/21

2/8/21

2/15/21

2/22/21

3/1/21

3/8/21

3/15/21

3/22/21

3/29/21

4/5/21

4/12/21

4/19/21

4/26/21

5/3/21

5/10/21

5/17/21

5/24/21

5/31/21

6/7/21

6/14/21

6/21/21

6/28/21

7/5/21

7/12/21

7/19/21

7/26/21

8/2/21

8/9/21

8/16/21

8/23/21

8/30/21

9/6/21

9/13/21

9/20/21

9/27/21

5

Source: Cboe Global Markets, SIFMA estimates

SIFMA Insights

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Monthly Market Metrics

Multi-Listed Options Volumes (ADV)

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Monthly average 38.1 million contracts

o +5.9% M/M

o +21.9% Y/Y

o -12.4% from the start of the year (January monthly average)

Monthly peak on the 20th at 47.7 million contracts, troughed on the 29th at 32.8 million contracts

Monthly equity options 35.9 million contracts (+5.0% M/M, +20.9% Y/Y, -13.6% to January), index options

2.2 million contracts (+24.9% M/M, +39.7% Y/Y, +12.9% to January)

Options Monthly ADV (M contracts)

50

43.5

45

42.8

40

35

33.2

31.3

29.0

30

38.8

38.5

38.1

33.7

33.4

35.4

37.5

36.0

38.1

28.4

25

19.1

20

15

10

5

Options 2021 Journey

65

ADV (M contracts)

Sep21

Aug21

Jul21

Jun21

May21

Apr21

Mar21

Feb21

Jan21

Dec20

Nov20

Oct20

Sep20

YTD

FY20

FY19

0

Trendline

59.3

60

53.9

55

48.8

50

43.3

45

39.5

40

47.7

45.3

43.6

39.4

38.1

38.3

35

33.5

30

29.2

30.4

30.8

1/4

1/11

1/18

1/25

2/1

2/8

2/15

2/22

3/1

3/8

3/15

3/22

3/29

4/5

4/12

4/19

4/26

5/3

5/10

5/17

5/24

5/31

6/7

6/14

6/21

6/28

7/5

7/12

7/19

7/26

8/2

8/9

8/16

8/23

8/30

9/6

9/13

9/20

9/27

25

Source: Cboe Global Markets, SIFMA estimates

SIFMA Insights

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