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US Securities Volumes

Let There Be Light - US Edition

January 27, 2021

December:

  • Dark pools executed approximately 12.19% of US equity volume last month, down 84 bps from November’s 13.03%
  • Dark-pool average daily volume fell 8.98% m/m, to 1.34 billion shares, while consolidated ADV dropped 2.69% m/m
  • Single-dealer platforms were among the top performers and for the second time this year, Virtu VEQ-Link surpassed Citadel Connect to stand as the biggest SDP by volume
  • Block venues had a rough December despite volatility dropping to its lowest point since February
  • Hidden orders on lit markets executed 7.92% of US volume in December, down 58 bps from November


Year-In-Review:

  • Dark-pool market share dropped 11 bps, to an 11-year low of 12.81%
  • The distribution of dark-pool volume among venue categories notably shifted last year to market-maker platforms, which made up 26.12% of total dark-pool volume, a record high
  • Although ATS block market share surged in March to nearly a two-year high, during the rest of 2020 ATS blocks dropped down to record lows
  • Last year block pools made improvements to systems alerting customers to potential matches and four more ATSs began accepting odd-lot executions
  • Non-displayed markets also continued to expand in number last year with three new ATSs

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