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US Securities Volumes

May 5, 2020

• Volumes declined from March records, as the VIX average daily close fell 28.20% m/m (+220.13% y/y), to 41.45.

• Equity ADV dropped 21.09% m/m (+87.05% y/y), to 12.35 billion

• Year-to-date equity ADV is up 55.30% from the same period last year and 61.11% over full-year 2019.

• Off-exchange market share soared 506 bps to a record 41.64%; NYSE (-149 bps m/m) and Nasdaq (-108 bps m/m) lost the most market share.

• Block market share fell 115 bps m/m, to 6.84% of total equities volume.

• Closing prints accounted for 5.75% of equities volume, down 22 bps m/m.

• 22.17% of closing volume occurred off-exchange, up 875 bps from March.

• ETP ADV slid 33.88% m/m (+123.96% y/y), to 2.74 bn, accounting for 22.49% of equity ADV (-429 bps m/m).

• Equity-options ADV fell 8.53% m/m (+49.58% y/y), to 24.6 million.

• Year-to-date, equity options ADV is up 47.01% over 2019-to-date and 43.30% vs. full-year 2019.

• In equity options, Nasdaq GEMX (+263 bps m/m) and Nasdaq ISE (+237 bps m/m) posted the biggest market-share gains; NYSE Arca (-364 bps m/m) and Cboe BZX (-185 bps) lost the most.

• Index-options ADV tumbled 52.11% m/m (-5.83% y/y), to 1.56 million.

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