2 December 2016

Co-Authors

Alex Kemmsies

Vice President    
 

Justin Schack

Managing Director    

Rosenblatt Securities Inc.    
New York +1 212 607 3100    

TRADING TALK
November US Securities Volumes


• Volumes rose across the board last month, driven largely by the unexpected election result.
• Equities ADV jumped 24.36% m/m (+16.15% y/y), to 7.92bn shares, as the VIX average daily close increased 4.46% m/m (-6.01% y/y), to 15.24.
• Nasdaq reclaimed the top spot as the largest US equity market, gaining 51 bps m/m, and BATS BYX market share reached a new record high of 4.51%.
• NYSE, after surging ahead of Nasdaq to become the country’s biggest exchange in October, was the only bourse to suffer a significant decline (-61 bps m/m) in market share.
• Blocks accounted for 9.44% of equity volume, a 19-month high, even as volatility increased. This may be due to institutions significantly adjusting their equities exposures following the election.
• Exchange-traded-product ADV spiked 37.71% m/m (+40.65% y/y) to 1.71bn shares, accounting for 21.63% of total equity ADV, up 210 bps from October.
• Equity-options ADV rose 21.79% m/m (+10.19% y/y) to 16.2mn, the highest level since January.
• Index-options ADV posted a strong rebound, rising 41.97% m/m (+39.78% y/y) to 2.1mn contracts, coming off an 18-month low of 1.4mn in October.
• NYSE Arca gained 141 bps of equity-options market share m/m (+219 bps y/y), to 12.17%, its highest level since May 2014.
• EDGX gained 15 bps m/m of equity-options market share, to a record 1.43%
• MIAX market share fell 103 bps m/m, falling to its lowest level (5.68%) since February 2015.
• Year-to-date equity ADV of 7.39bn is up 7.88% vs. the same period in 2015; equity-options YTD ADV of 14.44mn is down 2.94%.

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