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January 2021 to Five Prior Years, We Highlight the Following

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January 2021 to Five Prior Years, We Highlight the Following Spotlight: January Market Metrics SIFMA Insights January Market Metrics and Trends A Look at Monthly Volatility and Equity and Options Volumes February 2021 Monthly Metrics • Volatility (VIX): January average 24.91 (-14.8% to 2020), peak 37.21 on January 27 • S&P 500 (Price): January average 3,793.75 (+17.9% to 2020), peak 3,855.36 on January 27 • Equity ADV (billion shares): January average 15.6 (+42.6% to 2020), peak 24.5 on January 27 • Options ADV (million contracts): January average 43.5 (+49.8% to 2020), peak 59.3 on January 27 Monthly Trend Highlights • January VIX the highest since 2016; was on a weekly downward trend until the last week of the month when the WallStreetBets short squeeze trades began • Analyzing the inverse relationship in price movements in GME/AMC and the S&P 500; on January 27, the S&P 500 daily price change was -2.6, versus GME +134.8 and AMC +301.2% SIFMA Insights Page | 1 Spotlight: January Market Metrics Spotlight: January Market Metrics To say 2021 came out of the gates strong would be an understatement. On average in January, markets (in terms of S&P 500 price) were up 17.9% to the 2020 average, on top of a 10.5% Y/Y rise in 2020. Volumes continued to climb in January: multi-listed options +49.8% to the 2020 average (+52.5% Y/Y in 2020); and equities +42.6% to the 2020 average in January (+55.4% Y/Y in 2020). These higher than historical volume levels come as volatility began to settle at the start of the year, with the January average -14.8% to the 2020 average (the VIX increased +90.1% Y/Y in 2020 on average). In this report, we highlight the following early 2021 market trends for volatility, price and volumes. (Please see SIFMA Insights: A Look Back at 2020 Market Structure Themes for a deep dive on last year’s market metrics.) Volatility (VIX) • January average 24.91, vs. 2020 average 29.25 and 2019 average 15.39 (-14.8% to 2020, +61.9% to 2019) • Peaked on January 27 at 37.21, +38.0 to the start of the year and +27.2% to 2020 average • Low level of 21.32; started off the year in the mid-20s, spiking up to the 30s during the retail trading surge 40 The VIX's 2021 Journey VIX Trendline 37.21 38 36 33.09 34 32 30 30.21 28 26.97 25.07 26 24.08 24.34 23.24 23.19 24 25.34 22.37 21.91 23.33 23.25 21.58 22 23.02 21.56 22.21 21.32 20 1/4/21 1/5/21 1/6/21 1/7/21 1/8/21 1/9/21 1/10/21 1/11/21 1/12/21 1/13/21 1/14/21 1/15/21 1/16/21 1/17/21 1/18/21 1/19/21 1/20/21 1/21/21 1/22/21 1/23/21 1/24/21 1/25/21 1/26/21 1/27/21 1/28/21 1/29/21 70 Average Monthly Volatility (VIX) 60 57.74 50 41.45 40 29.25 30.90 31.12 29.44 26.84 30 27.65 24.91 22.89 25.00 22.37 19.63 20 15.39 13.94 10 0 FY19 FY20 Jul20 Apr20 Oct20 Jun20 Jan20 Jan21 Mar20 Feb20 Aug20 Sep20 Nov20 Dec20 May20 Source: Bloomberg, SIFMA estimates (as of Jan. 29) SIFMA Insights Page | 2 Spotlight: January Market Metrics Index Price (S&P 500) • January average 3,793.75, versus 2020 average 3,217.86 and 2019 average 2,913.36 (+17.9% to 2020, +30.2% to 2019) • Peaked on January 25 at 3,855.36, +4.2% to the start of the year and +19.8% to 2020 average • Low price level of 3,700.65 at the start of the year; upward trending on average for the year but did decline during the retail trading surge 3,900 2021 Journey - S&P 500 S&P 500 Trendline 3,853.07 3,855.36 3,851.85 3,850 3,824.68 3,849.62 3,809.84 3,803.79 3,841.47 3,801.19 3,795.54 3,800 3,787.38 3,799.61 3,798.91 3,748.14 3,750 3,768.25 3,726.86 3,750.77 3,700 3,714.24 3,700.65 3,650 1/4/21 1/5/21 1/6/21 1/7/21 1/8/21 1/9/21 1/14/21 1/17/21 1/20/21 1/11/21 1/12/21 1/13/21 1/15/21 1/16/21 1/18/21 1/19/21 1/21/21 1/22/21 1/23/21 1/24/21 1/25/21 1/26/21 1/27/21 1/28/21 1/29/21 1/10/21 3,900 Average Monthly Price - S&P 500 3,793.75 3,695.31 3,700 3,548.99 3,500 3,391.71 3,418.70 3,365.52 3,278.20 3,277.31 3,300 3,217.86 3,207.62 3,104.66 3,100 2,913.36 2,919.61 2,900 2,761.98 2,700 2,652.39 2,500 Jul20 FY19 FY20 Apr20 Oct20 Jan20 Jun20 Jan21 Mar20 Feb20 Nov20 Dec20 Aug20 Sep20 May20 Source: Bloomberg, SIFMA estimates (as of Jan. 29) SIFMA Insights Page | 3 Spotlight: January Market Metrics Equity Volumes (ADV) • January average 15.6 billion shares, versus 2020 average 10.9 billion shares and 2019 average 7.0 billion shares (42.6% to 2020, +121.6% to 2019) • Peaked on January 27 at 24.5 billion shares, +69.2% to the start of the year and +124.1% to 2020 average • Low level of 13.1 billion shares is still quite elevated to the 2020 average (+19.7%) • Average off exchange trading 47.5%, versus 41.5% 2020 average and 37.3% 2019 average (+6.0 pps to 2020, +10.2 pps to 2019) Equities 2021. Journey (B shares) ADV Trendline 26 24.5 24 22 20.1 20 18 16.9 16.6 15.5 17.5 16 14.6 14.6 14.5 14.2 14.3 13.6 14 14.7 14.4 14.8 14.1 14.1 13.9 12 13.1 1/6 1/4 1/5 1/7 1/8 1/9 1/21 1/11 1/12 1/13 1/14 1/15 1/16 1/17 1/18 1/19 1/20 1/22 1/23 1/24 1/25 1/26 1/27 1/28 1/29 1/10 Equities Monthly ADV (B shares) 18 15.6 15.6 16 14 13.3 12.3 12 10.9 11.3 11.3 11.0 10.5 10.0 10 9.3 9.2 9.1 7.6 8 7.0 6 4 2 0 FY19 FY20 Jul20 Apr20 Oct20 Jan20 Jun20 Jan21 Mar20 Feb20 Dec20 Nov20 Aug20 Sep20 May20 Source: Cboe Global Markets, SIFMA estimates (as of Jan. 29) SIFMA Insights Page | 4 Spotlight: January Market Metrics Options Volumes (ADV) • January average 43.5 million contracts, versus 2020 average 29.0 million contracts and 2019 average 19.1 million contracts (+49.8% to 2020, +128.3% to 2019) • Peaked on January 27 at 59.3 million contracts, +50.2% to the start of the year and +104.0% to 2020 average • Low level of 32.0 million contracts remains elevated to the 2020 average (+10.2%) • The options action remains on the equity side (January average 41.5 million contracts, +52.4% to 2020 average); however index options volumes have picked up somewhat (January average 2.0 million contracts, +10.3% to 2020) Options 2021 Journey (M contracts) ADV Trendline 59.3 60 54.2 55 49.6 49.1 50 47.0 47.1 46.8 49.1 45 43.5 39.5 39.8 40 38.8 39.7 39.7 38.9 38.6 35 36.6 37.2 32.0 30 1/4 1/5 1/6 1/7 1/8 1/9 1/26 1/27 1/11 1/12 1/13 1/14 1/15 1/16 1/17 1/18 1/19 1/20 1/21 1/22 1/23 1/24 1/25 1/28 1/29 1/10 Options Monthly ADV (M contracts) 50 43.5 45 40 33.2 33.7 35 30.9 31.3 29.0 28.8 29.6 27.4 28.7 28.4 30 25.7 26.6 24.1 25 19.1 20 15 10 5 0 FY19 FY20 Jul20 Oct20 Apr20 Jan20 Jun20 Jan21 Feb20 Mar20 Aug20 Sep20 Nov20 Dec20 May20 Source: Cboe Global Markets, SIFMA estimates (as of Jan. 29) SIFMA Insights Page | 5 Spotlight: January Market Metrics Monthly Trend Highlights In this section we draw down on trends that moved markets in the month. January Volatility Patterns 2020 volatility began the year elevated to the last week of December, 26.97 on January 4 versus 22.58 in week 5 of December 2020, +19.5%. The VIX trend then headed into a downward sloping pattern, until we reached the final week of the month. In this week, members of the group WallStreetBets (WSB), a forum for participants to discuss stock and options trading strategies, on the message board site Reddit joined together to squeeze short sellers in a handful of stocks.
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