- Our special year-in-review section, starting on page 13, examines the record volumes and off-exchange market share of 2021.
- Volumes were mixed in December, as the VIX average daily close rose 15.43% m/m (-4.56% y/y), to 21.35.
- Equity ADV declined 2.31% m/m (-1.48% y/y), to 10.85 billion.
- The top 20 most-active equities accounted for 12.14% (+17 bps m/m) of total volume and 20.50% (+516 bps m/m) of value traded, with off-exchange market share of 46.02% (-512 bps m/m).
- NYSE (+130 bps m/m) gained the most equity market share; Off-exchange (-223 bps) lost the most.
- 41.06% (+12 bps m/m) of off-exchange volume traded at the NBBO, compared with 16.85% (-20 bps m/m) done at the midpoint (see chart, top of page 4)
- Block market share fell 47 bps m/m, to 6.03% of total equities volume.
- Closing prints accounted for 8.48% of equities volume, up 261 bps m/m; 23.03% of closing volume occurred off-exchange, up 125 bps m/m.
- ETP ADV jumped 23.43% m/m (+62.65% y/y), to 2.09 bn, or 19.25% of total equity ADV (+402 bps m/m).
- Equity-options ADV fell 15.56% m/m (+10.41% y/y), to 36.1 million contracts.
- In equity options, MIAX Emerald (+42 bps m/m) gained the most market share, while Nasdaq PHLX (-63 bps m/m) lost the most.
- Index-options ADV climbed 5.02% m/m (+49.80% y/y), to 2.31 million.
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