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European Securities Volumes: November 2021

December 13, 2021
  • Average daily value traded rose 7.97% m/m (-7.17 y/y), to €75.62 billion.
  • Volatility increased, with the VSTOXX average daily close rising 2.36% m/m (-18.99% y/y) to 16.39, and the FTSE 100 IVI up 6.61% m/m (-28.57% y/y) to 16.39.
  • Lit venues, dark MTFs and bank SIs gained market share. Closing auctions, over-the-counter trading, periodic auctions, ELP SIs and opening auctions lost market share. Closing auctions surged to 38% of consolidated volume on November 30 following a rebalance of MSCI indices.
  • Deutsche Börse and Cboe DXE Europe posted the largest m/m gains in pan-European on-venue market share. The London Stock Exchange lost the most.
  • Euronext Amsterdam, Euronext Brussels and Bolsas y Mercados Españoles gained the most market share in their home indexes. The London Stock Exchange, Euronext Milan and Nasdaq Copenhagen saw the steepest declines.
  • Alternative closing mechanisms and trade-at-last phases reached 5.28% of total closing-auction volume, the highest level since at least January 2020.

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