The NYSE Closing Auction remains the largest equity liquidity event, trading on average more than $18bn per day1. We have previously studied Closing Auction liquidity, participation, and price dislocation, and now focus on the price impact of auction order submission. We find that the market absorbs most large orders with little impact to the current stock price, especially on standard (i.e., non-rebalance) trading days.
We assess market impact of auction orders by examining the reference price and auction quantities from the auction imbalance data. Key data elements:
3:55 - 4:00pm NYSE-listed Russell 1000 Stocks Imbalance Change Ratio
3:55 - 4:00PM All Other NYSE-listed Stocks Imbalance Change Ratio
3:55 - 4:00pm NYSE-listed Russell 1000 Stocks Reference Price Change
3:55 - 4:00pm Other NYSE-listed Stocks Reference Price Change
3:55 - 4:00pm NYSE-listed Russell 1000 Stocks
3:55 - 4:00pm Other NYSE-listed Stocks
3:55 - 3:56pm Reference Price Changes
3:56 - 3:57pm Reference Price Changes
3:57 - 3:58pm Reference Price Changes
3:58 - 3:59pm Reference Price Changes
3:59 - 4:00pm Reference Price Changes
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.
Options Market Bracing for Turbulence »
U.S. options market volumes remained strong in Q3 2021 with an average of 35.5M contracts traded per day in the midst of several negative market catalysts: inflation fears, Fed taper plans and a rising 10-year Treasury yield, the Delta variant, Evergrande debt woes, US Federal debt limit brinksmanship, and uncertainty around an infrastructure bill.
Following the record-setting 40.1 million average daily volume (ADV) in the 1st quarter of this year, Q2 2021 options volume was the 2nd highest of all-time with 37.6 million contracts traded per day. Robust volume was driven in part by market anticipation of a potential earlier rise in interest rates and Fed tapering, as well as increased volume in options on new issues and continued activity in retail-focused stocks.