<< rosenblatt | All Market STructure REports

US Securities Volumes: March 2023

US Securities Volumes: March 2023
  • Volumes were mixed in March as volatility, measured by the VIX average daily close, climbed 7.89% m/m (-19.74% y/y), to 21.64.
  • Equity ADV rose 9.55% m/m (-10.22% y/y), to 12.49 billion.
  • Year-to-date equity ADV is off 8.51% from the same period last year and 0.76% lower than full-year 2022.
  • The top 20 most-active equities accounted for 16.24% (+107 bps m/m) of volume and 22.59% (-229 bps m/m) of value traded, with off-exchange market share of 51.88% (-410 bps m/m).
  • NYSE (+134 bps m/m) and Nasdaq (+80 Bps m/m) gained the most equity market share; Off-Exchange venues (-308 bps m/m) lost the most.
  • 43.38% (+221 bps m/m) of off-exchange volume traded at the NBBO, compared with 16.02% (+14 bps m/m) done at the midpoint.
  • Block market share edged up 6 bps m/m, to 6.52%.
  • Closing prints accounted for 7.84% of equities volume, up 132 bps m/m; 19.68% of closing volume occurred off-exchange, down 418 bps m/m.
  • ETP ADV increased 19.91% m/m (+1.27% y/y), to 2.74 bn, accounting for 21.94% of equity ADV (+189 bps m/m).
  • Equity-options ADV declined 2.49% m/m (+8.77% y/y), to 41.9 million contracts.
  • Year-to-date, equity options ADV is up 6.01% from the same period last year, and 11.17% higher than full-year 2022.
  • In equity options, BOX (+44 bps m/m) gained the most market share, while Cboe EDGX (-32 bps m/m) lost the most.
  • Index-options ADV climbed 10.36% m/m (+67.65% y/y), to a record 3.90 million.


View the report

more market structure reports

see all reports