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Monthly ETP Review

November 9, 2018

• Exchange-traded-product ADV jumped 62.15% m/m (+98.14% y/y), to 1.92 bn, its highest level since August 2011 (this dwarfed the m/m increase of 23.58% in total equity ADV).
• Average daily value traded rocketed 74.88% m/m (+119.33% y/y) to $136.1 bn, its highest level ever.
• ETPs accounted for 22.54% of equity ADV (+536 bps m/m) and 32.07% of equity ADVT (+865 bps m/m), as the VIX average daily close increased 49.87% m/m (+91.09% y/y), to 19.35.
• NASDAQ experienced the greatest gain in market share m/m, capturing 207 bps and reaching its highest level (15.44%) since August 2013. Cboe BZX (+191 bps m/m) followed, hitting its highest market share since February 2015; Cboe EDGX gained 118 bps.
• Off-exchange market share dropped 420 bps, to 30.41%, its lowest level since August 2012. NYSE Arca (20.85%) and NASDAQ BX (2.18%) market shares fell to multi-year lows not seen since August 2015 and January 2012, respectively.
• Fund flows turned negative for the first time since June, with net outflows of $340 mn. US corporate fixed-income funds (-$9.0 bn) led the way down, followed by US equity funds (-$918 mn). US government fixed-income (+$4.0 bn) and global funds (+$3.5 bn) experienced the strongest inflows.
• Major US equity funds, including IVV (+$4.6 bn), VOO (+$2.1 bn), SPY (-$3.4 bn) and IWB (-$3.0 bn), saw the biggest fluctuations in fund-flows.

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