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US Securities Volumes

Monthly ETP Review

November 13, 2020

• Average daily volume slid 2.30% m/m (+17.41% y/y), to 1.59 bn, compared with a 9.11% m/m drop in total equity volume, as the VIX average daily close climbed 6.48% m/m (+90.34% y/y), to 29.44.

• Average daily value traded fell 7.17% m/m (+38.14% y/y), to $113.43 bn.

• ETPs accounted for 17.40% of equity ADV (+110 bps m/m) and 26.20% of ADVT (+222 bps m/m).

• The 20-most-active ETPs accounted for 44.09% of total ETP volume and 7.67% of all equity volume.

• Off-exchange venues (+182 bps m/m) gained the most market share, while Nasdaq (-97 bps m/m) and NYSE Arca (-58 bps m/m) lost the most.

• ETP fund flows were positive for a 14th consecutive month, at $22.77 bn. Corporate fixed-income funds ($9.85 bn) and globally focused funds ($7.99 bn) had the highest net inflows, while US equity funds (-$1.47 bn) suffered the greatest net outflows.

• Average daily volume slid 2.30% m/m (+17.41% y/y), to 1.59 bn, compared with a 9.11% m/m drop in total equity volume, as the VIX average daily close climbed 6.48% m/m (+90.34% y/y), to 29.44.

• Average daily value traded fell 7.17% m/m (+38.14% y/y), to $113.43 bn.

• ETPs accounted for 17.40% of equity ADV (+110 bps m/m) and 26.20% of ADVT (+222 bps m/m).

• The 20-most-active ETPs accounted for 44.09% of total ETP volume and 7.67% of all equity volume.

• Off-exchange venues (+182 bps m/m) gained the most market share, while Nasdaq (-97 bps m/m) and NYSE Arca (-58 bps m/m) lost the most.

• ETP fund flows were positive for a 14th consecutive month, at $22.77 bn. Corporate fixed-income funds ($9.85 bn) and globally focused funds ($7.99 bn) had the highest net inflows, while US equity funds (-$1.47 bn) suffered the greatest net outflows.

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