Market Metrics and Trends

A Look at Monthly Volatility and Equity and Options Volumes

Market Theme

• The share of total options contracts traded with same-day expiry has risen noticeably over the past few years.
• We study the volumes of these 0DTE options broken down by underlying asset type and examine existing literature on the potential effects on broader equity markets.

Market Metrics

• S&P 500 (Price Index): March close 7,209.01, +10.4% M/M, +5.3% YTD, +29.4% Y/Y
• S&P 500 Sector Total Return Performance:
  • Best = Comms +18.5% M/M / Energy +33.5% YTD / Comms +55.9% Y/Y
  • Worst = Energy -3.5% M/M / Health Care -5.3% YTD / Health Care +5.8% Y/Y
• Volatility Index (VIX): Monthly average 19.8%; -5.8 pp M/M, -12.2 pp Y/Y
• Equity Average Daily Volume (ADV): Monthly average 17.8 billion shares; -13.0% M/M, -7.8% Y/Y
• Options ADV: Monthly average 66.5 million contracts; +0.3% M/M, +12.5% Y/Y

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