Market Structure Reports

Back To List
EU LTBL
US LTBL
Canadian Trading Monthly
Monthly ETP Review
Digest
EU Digest
Trading Talk
EU Volumes
US Securities Volumes

US Securities Volumes

August 6, 2018

Some highlights:

  • Volumes and volatility fell in July; the VIX average daily close dipped 3.88% m/m (+28.09% y/y) to 13.15.
  • Equities ADV dropped 16.54% m/m (+1.01% y/y), to 6.1 billion; but year-to-date ADV is up 4.93% y/y.
  • The percentage of equities volume done in block size increased 8 bps m/m, to 9.68%.
  • Off-exchange market share jumped 60 bps m/m; NYSE market share fell 157 bps following June’s annual Russell indexes reconstitution.
  • NYSE’s share of Tape B and Tape C volume climbed to 1.62% and 1.54%, respectively.
  • ETP ADV fell 10.78% m/m (+9.42% y/y) to 1.13bn, comprising 18.67% of equity ADV (+121 bps m/m).
  • Equity-options ADV dropped 8.22% m/m (+14.67% y/y), to 15.9mn; year-to-date ADV is up 22.67% y/y.
  • PHLX gained 90 bps of equity-options market share m/m; BOX lost 52 bps.
  • Index-options ADV fell 10.38% m/m (-10.64% y/y), to 1.63 mn.

Continue Reading

Recent Posts

Back To List