- Volumes were mixed in November as volatility, measured by the VIX average daily close, fell 21.89% m/m (+26.68% y/y), to 23.44.
- Equity ADV slid 2.15% m/m (+1.25% y/y), to 11.24 billion.
- Year-to-date equity ADV is up 4.50% from the same period last year and 4.99% higher than full-year 2021.
- The top 20 most-active equities accounted for 15.86% (+94 bps m/m) of volume and 22.63% (-150 bps m/m) of value traded, with off-exchange market share of 52.54% (-231 bps m/m).
- Off-exchange venues (+104 bps m/m) gained the most equity market share; NYSE (-32 bps m/m) lost the most.
- 40.37% (+47 bps m/m) of off-exchange volume traded at the NBBO, compared with 18.35% (+2 bps m/m) done at the midpoint.
- Block market share fell 9 bps m/m, to 5.97%.
- Closing prints accounted for 6.66% of equities volume, up 48 bps m/m; 22.92% of closing volume occurred off-exchange, up 240 bps m/m.
- ETP ADV fell 6.67% m/m (+44.51% y/y), to 2.44 bn, accounting for 21.75% of total equity ADV (-105 bps m/m).
- Equity-options ADV rose 4.74% m/m (-5.44% y/y), to 40.4 million contracts.
- Year-to-date, equity options ADV is up 2.46% from the same period last year, and 2.73% higher than full-year 2021.
- In equity options, Nasdaq PHLX (+295 bps m/m) and Cboe (+83 bps m/m) gained the most share, while Nasdaq GEMX (-99 bps m/m), Cboe EDGX (-71 bps m/m) and Nasdaq BX (-50 bps m/m) lost the most.
- Index-options ADV dropped 8.99% m/m (+49.77% y/y), to 3.29 million.
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