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 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.

Continue Reading

Recent Posts

Back To List