- Volumes rose in September as the VIX average daily close climbed 13.46% m/m (-28.29% y/y), to 19.82.
- Equity ADV increased 17.57% m/m (5.49% y/y), to 10.58 billion.
- Year-to-date equity ADV is up 4.80% from the same period last year and 6.33% vs. full-year 2020.
- The top 20 most-active equities accounted for 15.20% (+365 bps m/m) of volume and 12.07% (-59 bps m/m) of value traded, with off-exchange market share of 55.30% (+383 bps m/m).
- MEMX (+56 bps m/m) gained the most equity market share; Off-exchange venues (-113 bps m/m) lost the most.
- 43.27% of off-exchange volume traded at the NBBO, compared with 15.51% done at the midpoint.
- Block market share dropped 43 bps m/m, to 5.65% of total equities volume, the lowest level in our nearly eight-year data set.
- Closing prints accounted for 7.39% of equities volume, up 177 bps m/m; 19.14% of closing volume occurred off-exchange, down 358 bps m/m.
- ETP ADV jumped 28.70% m/m (0.75% y/y), to 1.65 bn, or 15.57% of total equity ADV (+135 bps m/m).
- Equity-options ADV climbed 5.05% m/m (+20.74% y/y), to 36.4 million contracts.
- Year-to-date, equity options ADV is up 39.26% from the same period last year, and 33.80% higher than full-year 2020.
- In equity options, Nasdaq BX (+67 bps m/m) gained the most market share; Nasdaq PHLX (-120 bps m/m) and MIAX Emerald (-63 bps m/m) lost the most.
- Index-options ADV rose 25.30% m/m (+39.60% y/y), to 2.26 million.