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Q1 2021 Options Review

Data Insights

Buyers and Sellers Meeting Earlier
in the NYSE Opening Auction

March 30, 2021

Kevin Tyrrell, Head of Research, NYSE

The boost in retail trading activity which began during pandemic lockdowns in spring 2020 continues today. This trend has impacted various market behaviors, including opening auctions. We have covered how NYSE Opening Auction liquidity has grown due to small order sizes. Below we examine auction volume interest by sector and highlight changing trends in order entry behavior.

Auction Interest by Sector

Opening auction interest has grown across nearly all sectors.

  • For NYSE-listed stocks in the Russell 1000 index, Health Care stocks have added about 50bps to the share of volume executed in the Opening Auction since Q4 2019.
  • Energy and Materials have also seen auction growth; the only sector without growth is Industrials with a de minimis decline.

Opening Auction Share of Total Market Volume

NYSE-Listed Russell 1000 Stocks

With the growth in retail trading and associated off-exchange volume, NYSE Opening Auction liquidity has become a more important vehicle for accessing retail liquidity.

  • The Opening Auction has grown to trade 58MM shares per day, compared to 47MM in December 2020 and 30MM in December 2019.
    • Volume has grown even as market prices rise: the auction’s volume-weighted average price is up 2.3% from December 2020 and 7.8% from December 2019.i
  • Despite off-exchange volume growing, the auction has maintained total market share of 1%-1.2% of total NYSE-listed market volume.
  • In fact, sectors that have seen relatively less market volume growth have tended to have more growth in Opening Auction share.

Sector Share of Market Volume vs. Opening Auction Share of Total Volume

NYSE-Listed Russell 1000 Stocks

Auction Matching Occurs Earlier

As the Opening Auction has grown, we have seen similar amounts of overnight volume but faster growth in paired shares during the auction periodii compared to Q3 2020.

  • This month, 6.6% of executed auction volume was entered before 8:00 AM, compared to 6.8% in September 2020.
  • Aggregate volume entered during the auction period (8:00 AM - 9:30 AM) follows a similar pattern to previous months.
  • Importantly, paired shares are now a larger portion of the auction interest through more of the imbalance period.
    • This suggests that “natural” flow entering the opening auction (i.e., flow looking to open/close a position) is now more balanced between buy and sell interest compared to previous months.
    • While flow is entering earlier than previous months, there is still an increase in imbalance quantity in the last few minutes before the auction as later-arriving orders are added to the auction.

NYSE Opening Auction Timeline: Paired & Imbalance Shares Leading to Auction

NYSE-Listed Russell 1000 Stocks

Liquidity Insight and Opportunity

The NYSE Opening Auction executes 58MM shares and $2.8bn in notional value each day, excluding expirations, and has grown market share as retail trading and off-exchange volume has risen. As Opening Auction interest has shifted to earlier in the morning, paired and imbalance volume data can offer better views into liquidity opportunities and a unique source of accessible liquidity.


i All volume and market share metrics exclude quarterly options expiry.

ii The “auction period” refers to 8:00 AM - 9:30 AM, the period when auction imbalance information is being published.

Recent Articles


Multi-list options broke nearly all volume records in 2021, driven by the growth of retail participation: daily records (24 of the top 25 volume days of all-time came in 2021), monthly ADV records (April was the only month from 2021 not in the top 12 all-time), and yearly ADV records (37.3M ADV in 2021 was nearly 10M more than in 2020 and double the ADV in 2019).


Increased retail activity in the equities market has affected which stocks are trading the most, and when and where those stocks trade. We’ve previously highlighted retail’s impact on pre- and post-market volume and the opening auction, and now focus on the period immediately after the opening auction. Market participants often avoid this time of day due to higher volatility, an approach worth re-evaluating given current trends.

As the home of ETFs, the NYSE continuously works to strengthen market quality and provide the optimal trading environment for listing and trading ETFs. In April 2021, in service of this goal, the NYSE introduced new requirements and incentives for its industry-leading NYSE ETF Liquidity Program, including the assignment of additional market makers ("Less Active ETF Leads") for new and/or low-volume ETFs.