4 October 2017

Co-Authors

Alex Kemmsies

Vice President    
 

Justin Schack

Managing Director    

Rosenblatt Securities Inc.    
New York +1 212 607 3100    

TRADING TALK
September US Securities Volumes


• Equity ADV rose while ETPs and options fell, as the VIX average daily close declined 12.84% m/m (- 26.59% y/y), to 10.44.
• Equities ADV increased 5.74% m/m from August’s three-year low, (-11.33% y/y) to 6.3 billion, helped by outsized volume related to the September 15 “quadruple-witching” options and futures expirations.
• Year-to-date equities ADV is down 11.57% y/y and off 10.41% compared with full-year 2016.
• The percentage of equity volume done in block size rose 105 bps m/m, to 9.69%.
• NYSE gained 100 bps of equity market share m/m. NYSE Arca lost 41 bps.
• ETP ADV fell 3.89% m/m (-29.97% y/y) to 1.03bn, accounting for 16.51% of equity ADV (-165 bps m/m).
• Equity-options ADV declined 1.45% m/m (-7.14% y/y), to 14.1mn.
• Year-to-date equity-options ADV is up 1.97% y/y, and 1.12% higher than full-year 2016.
• MIAX Pearl gained 19 bps of equity-options market share m/m, to a record 1.70%. BATS lost 79 bps m/m.
• Index-options ADV slid 4.76% m/m (18.46% y/y), to 2.1mn.

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