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US Securities Volumes

September 3, 2020

• The VIX average daily close dropped 14.72% m/m (+20.60% y/y), to 22.89.

• Equity ADV fell 12.41% m/m (+26.85% y/y), to 9.23 billion.

• Year-to-date equity ADV is up 57.82% from the same period last year and 59.60% over full-year 2019.

• Off-exchange venues gained the most market share, rising 92 bps to 44.08% of total volume, a fifth consecutive monthly record; Cboe BZX (-53 bps m/m) lost the most market share.

• The top 20 symbols by volume had even higher off-exchange market share, at 48.29%; Nine of these issues traded more than 50% away from exchanges; three had off-board share greater than 60%.

• Average trade size dropped to 180 shares, from 191 in July.

• Block market share rose 52 bps, to 6.71% of total equities volumes.

• Closing prints accounted for 5.39% of equities volume, up 36 bps m/m.

• 23.97% of closing-auction volume occurred off-exchange, up 134 bps m/m.

• ETP ADV declined 10.03% m/m (-18.28% y/y), to 1.36 bn, or 14.73% of total equity ADV (+39 bps m/m).

• Equity-options ADV climbed 10.19% m/m (+45.70% y/y), to 27.7 million.

• Year-to-date, equity-options ADV is up 48.58% over 2019-to-date and 47.48% vs. full-year 2019.

• In equity options, MIAX Emerald (+82 bps m/m) and Cboe C2 (+64 bps m/m) posted the biggest market-share gains; Cboe (-75 bps m/m) and NYSE Amer (-60 bps m/m) lost the most.

• Index-options ADV increased 4.84% m/m (-38.39% y/y), to 1.40 million.

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