Monthly Market Metrics and Trends

Market Theme: Reading the Tea Leaves in TLT Options

• September saw record changes in Treasuries, with 10-year Treasury yields reaching their highest level since June 2007, while 30-year Treasury yields reached levels last seen in June 2002, following a series of inflation, economic growth and monetary-policy developments, which included a rate hike by the FOMC mid-month.
• We explore the movement in Treasury yields in the context of one of the largest long-dated Treasury ETFs, which saw record inflows and a surge in associated options trading, in order to determine whether we can infer anything about future rate expectations

Market Metrics

• S&P 500 (Price Index): September close: 7,651.54, -0.5% M/M, +11.8% YTD, +14.4% Y/Y
• S&P 500 Sector Total Return Performance:
  • Best = Information Technology +4.5% M/M / Energy +40.3% YTD / Energy +42.4% Y/Y
  • Worst = Financials -7.2% M/M / Consumer Discretionary -5.8% YTD / Utilities -7.0% Y/Y
• Volatility Index (VIX): Monthly average 15.8%; +0.5 pp M/M, no change Y/Y
• Equity Average Daily Volume (ADV): Monthly average 17.0 billion shares; +3.7% M/M, -7.2% Y/Y
• Options ADV: Monthly average 64.5 million contracts; -1.9% M/M, -0.4% Y/Y

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