2 November 2017

Co-Authors

Alex Kemmsies

Vice President    
 

Justin Schack

Managing Director    

Rosenblatt Securities Inc.    
New York +1 212 607 3100    

TRADING TALK
October US Securities Volumes


• Equity and ETP volumes fell as options activity increased in October. The VIX average daily close declined 2.99% m/m (-30.58% y/y), to 10.13, the lowest monthly average in recorded history, going back to 1986.
• Equities ADV dropped 2.40% m/m (-4.07% y/y) to 6.1 billion.
• Year-to-date, equities ADV is down 11.09% y/y and off 10.95% compared with full-year 2016.
• The percentage of equity volume done in block size rose 32 bps m/m, to 10.01%.
• Off-exchange venues gained 154 bps of equity market share m/m, as NYSE lost 123 bps.
• ETP ADV fell 6.14% m/m (-22.06% y/y) to 970mn, the lowest level since August 2014, and accounted for 15.87% of equity ADV (-63 bps m/m).
• Equity-options ADV increased 5.25% m/m (+11.71% y/y), to 14.8mn.
• Year-to-date equity-options ADV is up 1.04% y/y, and 1.93% higher than full-year 2016.
• PHLX gained 69 bps of equity-options market share m/m, as MIAX lost 45 bps m/m.
• Index-options ADV dropped 6.14% m/m (+38.72% y/y), to 2.0mn.

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