5 September 2017

Co-Authors

Alex Kemmsies

Vice President    
 

Justin Schack

Managing Director    

Rosenblatt Securities Inc.    
New York +1 212 607 3100    

TRADING TALK
August US Securities Volumes


• August brought a mixed bag, with equities activity edging down and options volumes rising, as volatility increased. The average daily closing value of the VIX jumped 16.67% m/m (-3.42% y/y), to 11.98.
• Equities ADV fell 1.62% m/m (-3.31% y/y) to 5.9 billion, a three-year low.
• Year-to-date equities ADV is down 11.62% y/y and off 9.88% compared with full-year 2016.
• The percentage of equity volume done in block size fell 66 bps m/m, to 8.64%.
• Inverted-fee exchanges Nasdaq BX and Bats BYX grabbed bigger slices of the volume pie. BX gained 22 bps of market share m/m, to 3.42%, its highest level since July 2010. BYX’s 15 bps m/m increase pushed it to a record-high 5.06% of consolidated volume.
• Bats EDGA, which recently moved from inverted to a flat-fee schedule, lost 3 bps of market share m/m. EDGA’s seventh straight m/m fall brought it to 1.59% of total volume, the lowest level we have on record.
• Exchange-traded-product ADV grew 3.65% m/m (-3.06% y/y) to 1.07bn, accounting for 18.16% of equity ADV (+92 bps m/m).
• Equity-options ADV rose 3.46% m/m (+13.86% y/y), to 14.3mn.
• Year-to-date equity-options ADV is up 1.97% y/y, and 1.12% higher than full-year 2016.
• In equity options, MIAX PEARL gained 43 bps of market share m/m to 1.51%, the highest level since its February debut. ISE dropped 28 bps m/m to 8.53%, the lowest level in our records, which date to 2009.
• Index-options ADV rose 22.86% m/m (54.16% y/y), to 2.2mn.
• VIX options ADV surged 31.81% m/m, accounting for 55.98% of the monthly increase in index ADV.

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