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US Securities Volumes

November 4, 2019

• Volumes dropped across the board in September, as the VIX average daily close fell 0.59% m/m (-20.08% y/y), to 15.56.

• Equity ADV fell 9.18% m/m (-22.97% y/y), to 6.56 billion; Year-to-date ADV is down 70 bps from the same period in 2018, after being up 265 bps y/y through August.

• Off-exchange venues (+116 bps m/m) gained the most equities market share, followed by NYSE Arca (+60 bps m/m); Nasdaq (-99 bps m/m) and NYSE (-76 bps m/m) lost the most.

• Block market share inched downward 3 bps m/m, to 9.00% of total equities volume.

• Closing prints accounted for 7.78% of all equities volume last month, down 238 bps m/m, and 23.57% of all closing prints occurred off-exchange, up 120 bps m/m.

• ETP ADV fell 11.00% m/m (-30.45% y/y) to 1.34 bn, accounting for 20.36% of equity ADV (-42 bps m/m).

• Equity-options ADV slipped 2.85% m/m (-18.14% y/y), to 17.5 million; YTD ADV is down 322 bps from the same period last year and off 403 bps from full-year 2018.

• In equity options, Nasdaq ISE (+92 bps m/m) and NYSE Arca (+54 bps m/m) gained the most market share; Cboe (-87 bps m/m) lost the most.

• Index options ADV slid 8.76% m/m (-35.35% y/y), to 1.78 million.

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