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US Securities Volumes

September 8, 2021
  • Volumes fell in August as the VIX average daily close slipped 0.74% m/m (-23.66% y/y), to 17.47.
  • Equity ADV declined 7.60% m/m (-2.47% y/y), to 9.00 billion.
  • Year-to-date equity ADV is up 4.73% from the same period last year and 7.52% vs. full-year 2020.
  • The top 20 most-active equities accounted for 11.55% (-245 bps m/m) of volume and 12.66% (-334 bps m/m) of value traded, with off-exchange market share of 51.47% (+155 bps m/m).
  • MEMX (+47 bps m/m) gained the most equity market share; NYSE (-24 bps m/m) lost the most.
  • Block market share slid 8 bps m/m, to 6.09% of total equities volume.
  • Closing prints accounted for 5.62% of equities volume, down 21 bps m/m; 22.72% of closing volume occurred off-exchange, up 73 bps m/m.
  • ETP ADV fell 14.01% m/m (-5.83% y/y), to 1.28 bn, or 14.22% of total equity ADV (-106 bps m/m).
  • Equity-options ADV slipped 2.91% m/m (+24.87% y/y), to 34.6 million contracts.
  • Year-to-date, equity options ADV is up 41.96% from the same period last year, and 33.94% higher than full-year 2020.
  • In equity options, MIAX Emerald (+111 bps m/m) and Nasdaq ISE (+57 bps m/m) gained the most market share; MIAX Pearl (-102 bps m/m) lost the most.
  • Index-options ADV dropped 7.63% m/m (+28.90% y/y), to 1.80 million.

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