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US Securities Volumes

March 2, 2021

• Volumes declined across asset classes, as the VIX average daily close fell 7.10% m/m (+17.89% y/y), to 23.14.

• Equity ADV slipped 1.86% m/m (+65.17% y/y) to 15.29 billion.

• The top 20 most-active equities accounted for 17.34% (-120 bps m/m) of volume and 9.05% (+322 bps m/m) of value traded, with off-exchange market share of 58.67% (-11 bps).

• Nasdaq (+58 bps m/m) and Cboe EDGX (+54 bps m/m) gained the most equity market share; NYSE Arca (-79 bps) and off-exchange venues (-59 bps) lost the most.

• Block market share rose 8 bps m/m, to 6.67% of total equities volume.

• Closing prints accounted for 4.10% of equities volume, down 44 bps m/m, their lowest level since October 2014.

• 24.41% of closing-auction volume occurred off-exchange, up 62 bps m/m.

• ETP ADV dropped 12.73% m/m (-23.74% y/y), to 1.54 bn, or 10.10% of total equity ADV (-126 bps m/m), the lowest level in our data set, which dates to 2011.

• Equity-options ADV dipped 1.77% m/m (+54.74% y/y), to 41.4 million contracts.

• In equity options, MIAX Pearl (+130 bps m/m) gained the most market share; Nasdaq NOM (-77 bps) lost the most.

• Index-options ADV declined 2.08% m/m (-25.25% y/y), to 1.96 million.

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