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US Securities Volumes

US Securities Volumes

November 4, 2020
  • The VIX average daily close rose 6.48% m/m (+90.34% y/y), to 29.44.
  • Equity ADV dropped 9.11% m/m (+38.93% y/y), to 9.12 billion.
  • Year-to-date equity ADV is up 54.12% from the same period last year and 54.82% over full-year 2019.
  • In equities, off-exchange venues (+228 bps m/m), IEX (+94 bps m/m) and Cboe EDGX (+57 bps m/m) gained the most market share; Nasdaq (-260 bps m/m) and NYSE (-101 bps m/m) lost the most.
  • The top 20 most-active equities accounted for 14.31% (+105 bps m/m) of volume and 21.12% (-223 bps m/m) of value traded in October (see table, page 7).
  • Block market share rose 30 bps m/m, to 7.12% of total equities volume.
  • Closing prints accounted for 5.94% of equities volume, down 172 bps m/m.
  • 30% of closing-auction volume occurred off-exchange, up 509 bps m/m.
  • ETP ADV declined 2.96% m/m (+17.41% y/y), to 1.59 bn, or 17.40% of total equity ADV (+110 bps m/m).
  • Equity-options ADV fell 9.79% m/m (+55.13% y/y), to 27.2 million.
  • Year-to-date, equity-options ADV is up 51.18% over 2019-to-date and 50.68% vs. full-year 2019.
  • In equity options, Nasdaq ISE (+151 bps m/m), NYSE American (+115 bps m/m) and Cboe (+68 bps m/m) gained the most market share; NYSE Arca (-127 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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