Market Metrics and Trends

A Look at Monthly Volatility and Equity and Options Volumes

Monthly Metrics

  • Volatility (VIX): Monthly average 13.94; +4.1% M/M, -30.5% Y/Y
  • S&P 500 (Price): Monthly average 5,011.96; +4.3% M/M, +22.9% Y/Y
  • Performance (month/year): best = cons discretionary/comms +6.5%/+10.8%; worst = utilities/utilities -1.3%/-2.6%
  • Equity ADV: Monthly average 11.7 billion shares; +1.6% M/M, +2.9% Y/Y
  • Options ADV: Monthly average 47.7 million contracts; +4.3% M/M, +4.4% Y/Y

Monthly Highlight

  • So far in 2024, markets have continued to push through macroeconomic factors and hotter than anticipated inflation data to climb past the 5,000 level. Over the last six months, the S&P 500 has increased 12.9%.
  • This upward path is despite decreased expectations for the number and timing of Fed rate cuts. Shifting from an 88% probability of a cut in May to a waiting game until June, with a 63.6% probability of a cut.
  • The market climb is due in part to positive earnings results – 64.0% of total S&P 500 companies reporting had positive earnings surprises. 75.1% of S&P 500 technology companies reported positive earnings surprises.
  • Where do we go from here? Equity strategists’ SPX target price remains upward sloping, but the gap between target and actual prices declined. Over the last six months: actual price +12.9%, target price +8.4%, upside -24.7%.

 

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Author

Katie Kolchin, CFA
Managing Director, Head of Research
SIFMA Insights