- Volumes declined in August as volatility, measured by the VIX average daily close, fell 11.30% m/m (+26.88% y/y), to 22.17.
- Equity ADV slid 1.50% m/m (+17.53% y/y), to 10.58 billion.
- Year-to-date equity ADV is up 3.85% from the same period last year and up 6.96% vs. full-year 2021.
- The top 20 most-active equities accounted for 12.78% (-49 bps m/m) of volume and 19.40% (+126 bps m/m) of value traded, with off-exchange market share of 53.80% (-75 bps m/m).
- Off-exchange venues (+109 bps m/m) gained the most equity market share; NYSE (-74 bps m/m) lost the most.
- 40.56% (-202 bps m/m) of off-exchange volume traded at the NBBO, compared with 16.59% (+25 bps m/m) done at the midpoint (see chart, top of page 4).
- Block market share declined 132 bps m/m, to 5.11% of total equities volume, the lowest level since we began tracking in December 2013 (see chart, page 5).
- Closing prints accounted for 5.72% of equities volume, down 54 bps m/m; 21.01% of closing volume occurred off-exchange, up 13 bps m/m.
- ETP ADV fell 11.78% m/m (+47.11% y/y), to 1.88 bn, accounting for 17.80% of total equity ADV (-207 bps m/m).
- Equity-options ADV climbed 7.22% m/m (6.10% y/y), to 36.7 million contracts.
- Year-to-date, equity options ADV is up 2.49% from the same period last year, and 1.26% higher than full-year 2021.
- In equity options, Nasdaq BX (+62 bps m/m) gained the most market share, while Cboe EDGX (-78 bps m/m) lost the most.
- Index-options ADV increased 3.51% m/m (+51.78% y/y), to 2.74 million.
View the report
