Weekly Highlights

  • Last week’s volatility led to the second biggest daily moves of the quarter for both VIX and ETF market share. On Tuesday 9/13, VIX climbed over 3 points to 27.27 and the market share of the top 250 non-volatility specific ETFs hit 33% of trading in the top 3250 names overall.

  • While this is not surprising given the generally positive daily relationship between ETF market share and volatility, we see that this volatility-induced liquidity comes at a cost.

  • Despite overall volumes for ETFs being near quarterly highs, last week’s post-trade stability and average trade sizes remained near quarterly lows. Although much of the increased trading came later in the day, it wasn’t supported by the narrowing spreads one would expect in calmer markets during that period of the afternoon. Finally, this volume also came during a decline in the availability of intra-spread savings.

  • IntelligentCross remained an important source of safer ETF liquidity. Last week, we saw more than 5 million ETF orders per day priced better than the NBBO on arrival on our free market data feed IQX, with savings of approximately 30% of the spread. Displayed ETF order quantities on our platform averaged around 18x the median trade size in those names. This helped drive our ETF matching to a top 10 week for the number of shares traded as demi-block or larger, and a top 5 week for continuous ex-auction market share.

  • Please contact the desk for more information on our weekly data or to connect to IQX – it's available directly or through Exegy, MayStreet, Redline, and ACTIV.

Displayed Quote Stats

5-days through 09/16/22

Unique Names Per Day

Displayed Order Better Than NBBO %

Avg Spread Improvement %

Total

7342

29%

33%

ETF

1428

28%

40%

LARGE CAP

775

30%

28%

MID CAP

1152

29%

30%

OTHER

107

36%

27%

SMALL CAP

3881

30%

25%

Top Symbols

shares matched on the week

ADR

VALE2,680,622
NIO2,092,039
NOK1,592,305

ETF

XLF2,167,663
HYG1,982,056
SPY1,533,864

Large Cap

AAPL3,492,730
NLY3,015,927
AMD2,819,073

Smid Cap

SOFI2,010,433
DNA1,912,978
RIG1,791,129

Trading Information

5-days through 09/16/22

5-days through 09/16/22

Quote Stability @ 20ms

Quote Stability @ 500ms

Average Trade Size

Average Order Size

Active Traded Names

Total

92.6

80.1

100

220

6464

Smid Cap

94.1

86.7

90

200

4507

ETF

93.8

77.7

160

370

708

Large Cap

90.1

70.5

90

130

678

ADR

96

88.2

130

290

343

Percent Names Traded by Share Group

SMID_CAP 46.4%LARGE_CAP 38.1%ADR 6.0%OTHER 4.9%ETF 4.6%

SMID_CAP

LARGE_CAP

ADR

OTHER

ETF