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US Securities Volumes

December 4, 2019

• Volumes were mixed in November as the VIX average daily close dropped 19.03% m/m (-35.41% y/y), to 12.52.

• Equity ADV rose 4.61% m/m (-11.17% y/y), to 6.87 billion; Year-to-date ADV is down 171 bps from the same period in 2018, and off 383 bps compared to full-year 2018.

• Off-exchange venues gained 172 bps of equity market share m/m, while Nasdaq (-87 bps m/m) and NYSE Arca (-67 bps m/m) suffered the largest declines.

• Block market share increased 49 bps m/m, to 9.49% of total equities volume.

• Closing prints accounted for 6.47% of all equities volume last month, down 131 bps m/m, while 29.93% of all closing prints occurred off-exchange, up 636 bps m/m.

• ETP ADV fell 9.85% m/m (-26.30% y/y) to 1.22 bn, accounting for 17.75% of equity ADV (-285 bps m/m).

• Equity-options ADV grew 2.13% m/m (-2.10% y/y), to 17.9 million; YTD ADV is down 313 bps from the same period last year and off 384 bps from full-year 2018.

• In equity options, Cboe (+94 bps m/m) and Nasdaq PHLX (+88 bps m/m) gained the most market share; Cboe BZX (-75 bps m/m), Cboe C2 (-73 bps m/m) and MPRL (-50 bps m/m) lost the most.

• Index options ADV slid 9.31% m/m (-26.00% y/y), to 1.61 million.

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