- Volumes jumped in September as volatility, measured by the VIX average daily close, rose 23.62% m/m (+38.24% y/y), to 27.41.
- Equity ADV climbed 7.77% m/m (+7.73% y/y), to 11.40 billion.
- Year-to-date equity ADV is up 4.24% from the same period last year and up 6.18% vs. full-year 2021.
- The top 20 most-active equities accounted for 13.71% (+93 bps m/m) of volume and 23.04% (+364 bps m/m) of value traded, with off-exchange market share of 49.07% (-473 bps m/m).
- NYSE (+193 bps m/m) and Nasdaq (+113 bps m/m) gained the most equity market share; Off-Exchange venues (-346 bps m/m) and Cboe EDGX (-61 bps m/m) lost the most.
- 40.29% (-27 bps m/m) of off-exchange volume traded at the NBBO, compared with 17.92% (+133 bps m/m) done at the midpoint.
- Block market share increased 196 bps m/m, to 7.07%.
- Closing prints accounted for 8.30% of equities volume, up 258 bps m/m; 18.97% of closing volume occurred off-exchange, down 204 bps m/m.
- ETP ADV surged 32.31% m/m (+51.23% y/y), to 2.49 bn, accounting for 21.86% of total equity ADV (+405 bps m/m).
- Equity-options ADV climbed 8.49% m/m (9.57% y/y), to 39.9 million contracts.
- Year-to-date, equity options ADV is up 3.28% from the same period last year, and 1.93% higher than full-year 2021.
- In equity options, Nasdaq BX (+150 bps m/m), NYSE American (+110 bps m/m) and Nasdaq NOM (+56 bps m/m) gained the most market share, while NYSE Arca (-52 bps m/m) lost the most.
- Index-options ADV rose 27.20% m/m (+54.08% y/y), to 3.48 million.
View the report
