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US Securities Volumes

July 7, 2021
  • Volumes were mixed in June as the VIX average daily close fell 14.19% m/m (-45.51% y/y) to 16.96, the lowest monthly level since the start of the pandemic.
  • Equity ADV increased 4.48% m/m (-16.40% y/y), to 11.11 billion.
  • The top 20 most-active equities accounted for 14.52% (-74 bps m/m) of volume and 10.66% (-341 bps m/m) of value traded, with off-exchange market share of 54.42% (+212 bps m/m).
  • Off-exchange venues (+143 bps m/m) gained the most equity market share; NYSE Arca (-74 bps m/m) and Cboe BZX (-58 bps m/m) lost the most.
  • Block market share rose 13 bps m/m, to 6.07% of total equities volume.
  • Closing prints accounted for 8.83% of equities volume, up 281 bps m/m, boosted by the annual Russell Indexes rebalancing.
  • 19.58% of closing volume occurred off-exchange, down 336 bps m/m.
  • ETP ADV dropped 26.94% m/m (-36.06% y/y), to 1.28 bn, or 11.55% of total equity ADV (-497 bps m/m).
  • Equity-options ADV grew 10.90% m/m (+35.06% y/y), to 37.6 million contracts.
  • In equity options, BOX (+57 bps m/m) gained the most market share; Nasdaq ISE (-88 bps), Nasdaq NOM (-62 bps m/m) and Nasdaq GEMX (-557 bps m/m) lost the most.
  • Index-options ADV fell 11.16% m/m (+6.43% y/y), to 1.80 million.

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