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US Securities Volumes

Monthly ETP Review

September 11, 2020

• Average daily volume fell 10.03% m/m (-18.28% y/y), to 1.36 bn, compared with a 12.41% drop m/m across all equities, as the VIX average daily close declined 14.72% m/m (+20.60% y/y), to 22.89.

• Average daily value traded slid 11.29% m/m (-17.22% y/y), to $88.76 bn.

• ETPs accounted for 14.73% of equity ADV (+39 bps m/m) and 20.71% of ADVT (-193 bps m/m).

• The 20-most-active ETPs accounted for 43.52% of total ETP volume and 6.41% of all equity volume.

• Off-exchange venues (+162 bps m/m) gained the most market share, while Cboe BZX (-112 bps m/m) lost the most.

• ETP fund flows were positive for a 12th consecutive month, at $31.27 bn. US corporate fixed-income funds ($13.22 bn) led the way once again, followed by US equity funds ($7.44 bn). US government fixed-income (-$1,967 mn) was the only group to suffer net outflows.

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