9 January 2017

Co-Authors

Alex Kemmsies

Vice President    

Justin Schack

Managing Director    

Rosenblatt Securities Inc.    
New York +1 212 607 3100    

TRADING TALK
December US Securities Volumes


• The VIX average daily close fell 18.14% m/m (-30.81% y/y) to 12.47, its lowest level since July 2014, sending volumes down across the board.
• Equities ADV fell 12.99% m/m (-3.69% y/y), to 6.89bn shares.
• Off-exchange venues captured 38.21% of equity volume (+149 bps m/m); NYSE Arca lost 70 bps of market share, registering a three-year low of 9.69%.
• Exchange-traded-product ADV tumbled 16.45% m/m (-7.39% y/y) to 1.43bn shares, accounting for 20.77% of total equity ADV (-86 bps m/m).
• Equity-options ADV declined 14.49% m/m (-0.44% y/y) to 13.8mn. Index-options ADV dropped 14.92% m/m (+17.04% y/y), to 1.7mn contracts.
• ISE Gemini and PHLX gained 311 bps and 138 bps of market share in equity options, respectively. GEM’s 4.91% market share was its highest since October 2014.
• ARCA and CBOE lost 321 bps and 114 bps of equity-options market share, respectively. Arca’s 8.96% was its lowest since March 2015.
• 2016 equity ADV was up 6.86% vs. 2015, while equity-options 2016 ADV ended down 2.72% vs. 2015.

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