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US Securities Volumes

Monthly ETP Review

August 12, 2020

• Average daily volume fell 24.72% m/m (+32.69% y/y), to 1.51 bn, compared with a 20.74% drop m/m across all equities, as the VIX average daily close declined 13.75% m/m (+101.72% y/y), to 26.84.

• Average daily value traded slid 21.64% m/m (+38.01% y/y), to $100.06 bn.

• ETPs accounted for 14.34% of equity ADV (-76 bps m/m) and 22.64% of ADVT (-261 bps m/m).

• The 20-most-active ETPs accounted for 58.04% of total ETP volume and 8.32% of all equity volume.

• NYSE Arca (+57 bps m/m) and NYSE (+53 bps m/m) gained the most market share, while off-exchange venues (-123 bps m/m) and Cboe BZX (-63 bps m/m) lost the most.

• ETP fund flows were positive for an 11th consecutive month, at $31.68 bn. US corporate fixed-income funds ($20.80 bn) led the way once again, followed by commodity funds ($7.42 bn). US equity (-$6,882 mn) was the only group to suffer net outflows.

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