Canadian Trading Monthly
Monthly ETP Review
US Securities Volumes
August 6, 2018
- 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.