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US Securities Volumes

US Securities Volumes

August 4, 2020
  • The VIX average daily close dropped 13.75% m/m (+101.72% y/y), to 26.84.
  • Equity ADV fell 20.74% m/m (+68.23% y/y), to 10.54 billion
  • Year-to-date equity ADV is up 62.39% from the same period last year and 63.64% over full-year 2019.
  • Off-exchange venues gained the most market share, rising 125 bps to 43.16% of total volume, a fourth consecutive monthly record; NYSE (-136 bps m/m) lost the most market share.
  • Tape A (NYSE-listed) issues accounted for just 41.81% of total volume, down from 44.95% in June and 51.03% in July 2019; Tape C (Nasdaq-listed) issues were 41.01% of all volume, up from 38.39% in June and 31.35% in July 2019.
  • Average trade size dropped to 191 shares, from 202 in June.
  • Block market share dropped 29 bps, to 6.19% of total equities volumes.
  • Closing prints accounted for 5.03% of equities volume, down 252 bps m/m.
  • 22.63% of closing-auction volume occurred off-exchange, up 539 bps m/m.
  • ETP ADV declined 24.72% m/m (+32.69% y/y), to 1.51 bn, or 14.34% of total equity ADV (-76 bps m/m).
  • Equity-options ADV dropped 9.55% m/m (+54.83% y/y), to 25.2 million.
  • Year-to-date, equity-options ADV is up 49.15% over 2019-to-date and 45.96% vs. full-year 2019.
  • In equity options, Nasdaq Gemini (+66 bps m/m) posted the biggest market-share gains; Cboe BZX (-98 bps m/m) and MIAX Pearl (-60 bps m/m) lost the most.
  • Index-options ADV fell 21.09% m/m (-23.16% y/y), to 1.33 million.

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