Market Structure Reports

• Exchange-traded-product ADV rose 12.60% m/m (+1.60% y/y), to 1.49 bn, compared with a 4.33% increase in total equity ADV. The VIX average daily close slid 4.92% m/m (-23.86% y/y), to 14.49.
• Average daily value traded dropped 12.85% m/m (-5.97% y/y), to $96.0 bn.
• ETPs accounted for 19.76% of equity ADV (+145 bps m/m) and 27.65% of equity ADVT (+136 bps m/m).
• NYSE Arca (+151 bps m/m) had the biggest market-share gain; Off-exchange venues (-394 bps m/m) declined the most.
• Despite switching listing markets from NYSE Arca to Cboe BZX, Barclays’ popular VIX ETN (now called VXXB, replacing VXX, which expired January 30), still sees the biggest single chunk of its volume executed on NYSE Arca. Cboe BZX traded 12.82% of VXXB volume last month, compared with 16.00% of VXX in January. NYSE Arca executed 24.30% of VXXB trading in March, up 161 bps from its January VXX market share. One likely reason that BZX hasn’t gained share: a very small percentage of the ETN’s total volume occurs in the closing auction (0.26% last month, consistent with levels for VXX before it expired), which occurs only on the listing market. Like its predecessor, VXXB is among the top 10 most-active ETPs (ADV of 1.67 mn last month).
• ETP fund flows were net positive (+$26.22 bn) in March. US equity funds (+$15.59 bn) led the way, followed by US corporate fixed-income funds (+$7.90). Foreign developed-market funds (-$1.23 bn) suffered the strongest net outflows for a second consecutive month.