6 December 2017

Co-Authors

Alex Kemmsies

Vice President    
 

Justin Schack

Managing Director    

Rosenblatt Securities Inc.    
New York +1 212 607 3100    

TRADING TALK
November US Securities Volumes


• Volumes rose across the board as volatility ticked up in November. The VIX average daily close increased 4.10% m/m (-30.82% y/y), to 10.54.
• Equities ADV rose 7.85% m/m (-16.81% y/y), to 6.6 billion.
• Year-to-date, equities ADV is down 11.52% y/y and off 11.02% compared with full-year 2016.
• The percentage of equity volume done in block size dropped 60 bps m/m, to 9.50%.
• Nasdaq gained 50 bps of equity market share m/m, as off-exchange venues lost 115 bps.
• ETP ADV increased 11.81% m/m (-36.72% y/y) to 1.08bn, accounting for 16.46% of equity ADV (+58 bps m/m).
• Equity-options ADV grew 9.17% m/m (+0.13% y/y), to 16.2mn.
• Year-to-date equity-options ADV is up 1.00% y/y, and 1.35% higher than full-year 2016.
• PHLX gained 100 bps of equity-options market share m/m, as CBOE’s main market lost 53 bps m/m.
• CBOE EDGX Options market share reached a record-high 1.78%.
• Index-options ADV rose 7.70% m/m (+5.23% y/y), to 2.2mn.

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