Market Structure Reports

here• Volumes declined across the board, amid flat volatility, compared with October (VIX average daily close of 19.39, up 0.19% m/m and 83.95% y/y).
• Equities ADV dropped 9.30% m/m (+17.32% y/y) to 7.73 billion, but YTD is up 9.57% y/y, at 7.16 million.
• NYSE gained the most market share (+84 bps m/m); EDGX suffered the biggest loss (-57 bps m/m).
• Equity block trading increased 26 bps m/m, to 8.66% of total volume.
• ETP ADV fell 13.94% m/m (+52.51% y/y) to 1.65bn, accounting for 21.39% of equity ADV (-319 bps m/m).
• Equity-options ADV declined 14.60% m/m (+12.75% y/y) to 18.3 million; Year-to-date ADV is 18.1 million (+23.09% y/y).
• PHLX (+112 bps m/m) and NYSE American (+107 bps) posted the biggest market-share gains, while ISE (-97 bps m/m) and CBOE BZX (-68 bps m/m) suffered the greatest declines.
• Index-options ADV fell 20.77% m/m (+0.83% y/y), to 2.18 million.