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US Securities Volumes

October 2, 2020
  • The VIX average daily close rose 20.79% m/m (+77.70% y/y), to 27.65.
  • Equity ADV climbed 8.70% m/m (+38.82% y/y), to 10.03 billion.
  • Year-to-date equity ADV is up 55.69% from the same period last year and 57.73% over full-year 2019.
  • In equities, NYSE (+180 bps m/m) and Nasdaq (+147 bps m/m) gained the most market share; Off-exchange venues (-370 bps m/m) lost the most, breaking a five-month streak of record highs.
  • LTSE, MEMX and MIAX all debuted in September, though most have yet to begin trading in all symbols.
  • Average trade size dropped to 171 shares, from 180 in August.
  • Block market share rose 11 bps, to 6.82% of total equities volumes.
  • Closing prints accounted for 7.66% of equities volume, up 227 bps m/m, spurred by quad witching and S&P index rebalances.
  • 21% of closing-auction volume occurred off-exchange, down 576 bps m/m.
  • ETP ADV increased 20.30% m/m (+8.95% y/y), to 1.64 bn, or 30% of total equity ADV (-157 bps m/m).
  • Equity-options ADV climbed 8.65% m/m (+67.07% y/y), to 30.1 million.
  • Year-to-date, equity-options ADV is up 50.73% over 2019-to-date and 50.18% vs. full-year 2019.
  • In equity options, MIAX (+97 bps m/m), MIAX Emerald (+86 bps m/m) and NYSE Arca (+68 bps m/m) gained the most market share; Cboe (-104 bps m/m) and Nasdaq PHLX (-82 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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