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US Securities Volumes: October 2018

November 2, 2018

• Volumes jumped to multi-year highs amid October’s market tumult, with significant swings in market share among venues.
• Volatility (measured by the VIX average daily close) soared by 49.87% m/m (+91.09% y/y), to 19.35.
• Equities ADV rose 23.58% m/m (+39.50% y/y) to 8.52 billion, its highest level since February 2016.
• Year-to-date equities ADV is 7.11 million, up 8.80% y/y and on 8.88% higher than full-year 2017.
• Off-exchange equity market share dropped 206 bps m/m, while NYSE lost 152 bps; Notable gainers included Cboe BZX (+117 bps), NYSE Arca (108 bps) and Nasdaq (+94 bps); Cboe BZX and Nasdaq reached their highest market shares since January and May 2015, respectively.
• Equity block trading fell 110 bps m/m, to 8.40% of total volume, amid the spike in volatility.
• ETP ADV skyrocketed by 62.15% m/m (+98.14% y/y) to 1.92bn, its highest level since February 2011.
• ETPs accounted for 22.54% of equity ADV, up 536 bps from September.
• Equity-options ADV climbed 26.07% m/m (+44.14% y/y) to 21.4 million, the highest level since August 2011; Year-to-date ADV of 18.1 million (+24.24% y/y) puts 2018 on pace to be the highest-volume year ever.
• NOM (117 bps), ISE (+78 bps) and Cboe BZX (+78 bps) posted the biggest m/m equity-options market share gains; PHLX plummeted by 222 bps; Nasdaq BX fell to an all-time low of 0.29%, and MIAX dipped to 4.20%, its lowest market share since November 2014.
• Index-options ADV jumped 45.58% m/m (+37.05% y/y), to 2.75 million.
• SPX accounted for 58.11% of the increase in index options; VIX ADV (808k) was just 52% of its level during February’s spike in volatility.

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