Market Structure Reports

• Volumes fell for a second straight month, as the VIX average daily close dropped 22.16% m/m (-32.18% y/y), to 15.23.
• Equity ADV declined 6.97% m/m (-13.77% y/y) to 7.23 billion; Year-to-date ADV is down 3.01% compared to the same period last year.
• Off-board venues gained the most market share (+73 bps m/m); NYSE Arca lost the most (-64 bps m/m).
• Block trading decreased 30 bps m/m, to 8.60% of total equities volume.
• ETP ADV tumbled 21.06% m/m (-32.83% y/y) to 1.32 bn, accounting for 18.31% of equity ADV (-327 bps m/m).
• Equity-options ADV slumped 6.80% m/m (-20.51% y/y), to 16.7 million; Year-to-date ADV is off 14.58% compared to the same period last year.
• NYSE Arca (+59 bps m/m) and Nasdaq PHLX (+56 bps m/m) gained the most equity-options market share; Nasdaq NOM (-74 bps m/m) and NYSE Amer (-64 bps m/m) suffered the biggest declines.
• Index-options ADV dropped 11.87% m/m (-51.28% y/y), to 1.71 million.