01 June 2012
Co-Authors
Justin Schack
Managing Director
Alex Kemmsies
Associate
Rosenblatt Securities Inc.
New York +1 212 607 3100
Dublin +353 1 855 9125
Inquiries to
globalexchangeanalysis@rblt.com
TRADING TALK
May US Securities Volumes
Overview
Equity and options volumes increased during another volatile May. The VIX average daily close rose 17.84% m/m, helping to drive an 8.84% m/m increase in equity ADV and a 6.51% m/m jump in equity options ADV (7.29% excluding dividend trades). Not surprisingly, rising volatility drove the ETF portion of equities volume higher by 75bps m/m, to 15.02%. And the portion of equity volume executed off-exchange and printed through Trade Reporting Facilities (TRFs) shrunk 93bps m/m, to 31.18%. Notwithstanding the rebound from a bleak three-month stretch, volumes remain below their levels from most of 2011. In options, NDAQ’s Phlx market continues to see big y/y market-share losses, owing in part to pricing changes at CBOE.
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