• Our special year-in-review section, starting on page 13, examines the record volumes and volatility of 2020.
• Volumes declined in December, as the VIX average daily close fell 10.49% m/m (+62.64% y/y), to 22.37.
• Equity ADV slid 2.69% m/m (+60.48% y/y), to 11.01 billion.
• In equities, off-exchange market share jumped 236 bps m/m, setting a new monthly record of 45.77%. Cboe BZX (-63 bps m/m), NYSE Arca (-63 bps m/m) and IEX (-51 bps m/m) lost the most market share.
• The top 20 most-active equities accounted for 14.58% (-217 bps m/m) of volume and 16.68% (+466 bps m/m) of value traded, with off-exchange market share of 57.23%
• Four of the top 10 and five of the top 20 stocks by share volume had share prices less than $1; all traded at least 60% off-exchange, likely because of strong retail interest (see tables, page 7)
• Block market share dropped 123 bps m/m, to 6.20% of total equities volume.
• Closing prints accounted for 7.40% of equities volume, up 167 bps m/m.
• ETP ADV declined 19.56% m/m (+4.39% y/y), to 1.28 bn, or 11.66% of total equity ADV (-245 bps m/m).
• Equity-options ADV grew 2.19% m/m (+83.77% y/y), to 32.7 mn, a second consecutive monthly record.
• In equity options, Nasdaq PHLX (+178 bps m/m) and BOX (+62 bps m/m) gained the most market share; Cboe (-102 bps m/m), NYSE Arca (-72 bps m/m) and Nasdaq NOM (-72 bps m/m) lost the most.
• Index-options ADV fell 7.91% m/m (13.65% y/y), to 1.54 million.