US Securities Volumes: March 2024

• Volumes were mixed as the VIX average daily close dipped 1.12% m/m (-36.30% y/y), to 13.79.
• Equity ADV ticked up 2.45% m/m (-3.77% y/y), to 12.02 billion.
• Year-to-date equity ADV is off 0.14% from the same period last year, but up 6.63% from full-year 2023.
• The top 20 most-active equities accounted for 12.48% (+57 bps m/m) of volume and 20.58% (+31 bps m/m) of value traded, with off-exchange market share of 52.76% (-58 bps m/m).
• NYSE (+122 bps m/m) gained the most equity market share; Cboe EDGX (-59 bps m/m) lost the most.
• Stocks with sub-dollar share prices generated 10.05% of consolidated volume, up 27 bps m/m.
• 41.68% (+113 bps m/m) of off-exchange volume traded at the NBBO, compared with 17.44% (-60 bps m/m) done at the midpoint.
• Block market share declined 34 bps m/m, to 6.08%.
• Closing prints accounted for 9.62% of equities volume, up 233 bps m/m; 20.11% of closing volume occurred off-exchange, up 8 bps m/m.
• ETP ADV fell 1.07% m/m (-18.73% y/y), to 2.23 bn, comprising 18.53% of equity ADV (-66 bps m/m).
• Equity-options ADV dropped 3.10% m/m (+2.81% y/y) to 43.1 million contracts.
• Year-to-date, equity options ADV is up 2.07% from the same period last year and 7.29% higher than full-year 2023.
• In equity options, NYSE American (+71 bps m/m) gained the most market share; MIAZ Pearl (-39 bps m/m) lost the most.
• Index-options ADV slid 0.69% m/m (+5.54% y/y), to 4.11 million.

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