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US Securities Volumes: August 2023

US Securities Volumes: August 2023
  • Volumes increased as volatility, measured by the VIX average daily close, rose 13.79% m/m (-28.49% y/y), to 15.85.
  • Equity ADV climbed 0.78% m/m (-0.50% y/y), to 10.53 billion.
  • Year-to-date equity ADV is off 7.34% from the same period last year and down 9.80% from full-year 2022.
  • The top 20 most-active equities accounted for 16.40% (-86 bps m/m) of volume and 24.11% (+421 bps m/m) of value traded, with off-exchange market share of 57.52% (+181 bps m/m).
  • Off-exchange venues (+47 bps m/m) gained the most equity market share; Nasdaq (-42 bps m/m) lost the most.
  • 43.04% (+107 bps m/m) of off-exchange volume traded at the NBBO, compared with 16.25% (-4 bps m/m) done at the midpoint.
  • Block market share dropped 19 bps m/m, to 5.92%.
  • Closing prints accounted for 6.48% of equities volume, down 61 bps m/m; 19.06% of closing volume occurred off-exchange, down 231 bps m/m.
  • ETP ADV dipped 0.77% m/m (+3.79% y/y), to 1.95 bn, comprising 18.57% of equity ADV (-29 bps m/m).
  • Equity-options ADV rose 0.50% m/m (+9.94% y/y), to 40.4 million contracts.
  • Year-to-date, equity options ADV is up 6.00% from the same period last year and 7.49% higher than full-year 2022.
  • In equity options, Nasdaq BX (+120 bps m/m) and BOX (+59 bps m/m) gained the most market share, while MIAX (-42 bps m/m) lost the most.
  • Index-options ADV jumped 11.08% m/m (+41.42% y/y), to 3.87 million.


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