- Volumes rose in November, as the VIX average daily close increased 3.52% m/m (-35.98% y/y), to 18.50.
- Equity ADV climbed 6.80% m/m (-1.85% y/y), to 11.10 billion.
- Year-to-date equity ADV is up 4.96% from the same period last year and 4.88% vs. full-year 2020.
- The top 20 most-active equities accounted for 11.97% (-314 bps m/m) of volume and 15.34% (+229 bps m/m) of value traded, with off-exchange market share of 51.14% (-602 bps m/m).
- Nasdaq (+81 bps m/m) gained the most equity market share; Off-exchange venues (-90 bps m/m) lost the most.
- 41.18% (-200 bps m/m) of off-exchange volume traded at the NBBO, compared with 17.05% (+141 bps m/m) done at the midpoint (see chart, top of page 4).
- Block market share grew 63 bps m/m, to 6.50% of total equities volume.
- Closing prints accounted for 5.87% of equities volume, up 49 bps m/m; 21.78% of closing volume occurred off-exchange, down 22 bps m/m.
- ETP ADV increased 9.51% m/m (+6.01% y/y), to 1.69 bn, or 15.24% of total equity ADV (+38 bps m/m).
- Equity-options ADV jumped 15.53% m/m (+33.62% y/y), to 42.8 million contracts.
- Year-to-date, equity options ADV is up 38.49% from the same period last year and 35.94% higher than full-year 2020.
- In equity options, Nasdaq PHLX (+106 bps m/m) and NYSE Arca (+68 bps m/m) gained the most market share, while Cboe C2 (-64 bps m/m) and NYSE American (-62 bps m/m) lost the most.
- Index-options ADV climbed 5.75% m/m (+5.75% y/y), to 2.20 million.