3 November 2015

Co-Authors

Justin Schack

Managing Director    
 

Alex Kemmsies

Associate    

Rosenblatt Securities Inc.    
New York +1 212 607 3100    

TRADING TALK
October US Securities Volumes


• Volume declined amid falling volatility. Equities ADV fell 2.60% m/m (-9.51% y/y), to 7.15bn. The VIX average daily close fell 31.13% m/m (-7.03% y/y), to 16.79.
• Off-Exchange volume (+187 bps m/m) and block market share (see chart, page 3) bounced back as volatility eased.
• Exchange-traded-product ADV declined 14.09% m/m (-13.04% y/y), to 1.36bn, or 19.02% of total equity volume (-254 bps m/m).
• Equity-option ADV inched down 0.82% m/m (-22.43% y/y), to 14.7mn. Index- option ADV declined 19.01% m/m (+31.88% y/y).
• YTD equity ADV is up 7.31% compared with the year-ago period; YTD equity- option ADV is off 3.50%.
• BATS BZX options lost 364 bps of market share m/m, while NOM posted a 299-bps gain.

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