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US Securities Volumes

August 4, 2021
  • We are pleased to add a breakdown of executions relative to the NBBO on each exchange and off-board.
  • Volumes were mixed in July, as the VIX average daily close increased 3.81% m/m (-34.41% y/y), to 17.60.
  • Equity ADV fell 12.34% m/m (-7.55% y/y), to 9.74 billion.
  • Year-to-date equity ADV is up 5.77% from the same period last year and 11.33% vs. full-year 2020.
  • The top 20 most-active equities accounted for 14.00% (-52 bps m/m) of volume and 15.10% (+444 bps m/m) of value traded, with off-exchange market share of 49.92% (-450 bps m/m).
  • NYSE Arca (+58 bps m/m) gained the most equity market share; NYSE (-83 bps m/m) and off-exchange venues (-69 bps m/m) lost the most.
  • Block market share rose 10 bps m/m, to 6.17% of total equities volume.
  • Closing prints accounted for 5.83% of equities volume, down 300 bps m/m; 21.99% of closing volume occurred off-exchange, up 241 bps m/m.
  • ETP ADV climbed 16.01% m/m (-1.47% y/y), to 1.49 bn, or 15.28% of total equity ADV (+374 bps m/m).
  • Equity-options ADV slid 5.10% m/m (+41.72% y/y), to 35.7 million contracts.
  • Year-to-date, equity options ADV is up 44.67% from the same period last year, and 35.10% higher than full-year 2020.
  • In equity options, NYSE Arca (+308 bps m/m) and MIAX Emerald (+113 bps m/m) gained the most market share; Nasdaq GEMX (-290 bps), MIAX Pearl (-93 bps m/m) and NYSE American (-88 bps m/m) lost the most.
  • Index-options ADV grew 8.46% m/m (+46.28% y/y), to 1.95 million.

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