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Q1 2021 Options Review

Data Insights

NYSE Group Handles Record Message Volume

March 10, 2021

Volatility has roared back into the market in March. In contrast to the bleak outlook and dramatic price declines in March 2020, this month has shown decidedly two-way markets with a heavy influence from widely held tech stocks. So far this month, the S&P has on average moved about twice as much per day as it had in January and February. The tech influence is reflected in price moves in the NYSE FANG+ Index, which has shown even more price movement than the broader index.

Average Absolute Daily Price Change

As market activity and volatility has increased, NYSE Group is handling record levels of message traffic on its systems. Growth peaked on March 4th, when NYSE Group systems handled a record 356 billion messages in a single day. Message traffic on NYSE Exchanges was roughly 2.6 times average Q4 2020 levels and did not cause any change to client throughput or latency experiences.

NYSE Exchange Messaging Traffic

(Q4 2020 average=100)

Other Effects: Quote Volatility & Options Market Activity

Along with daily price action and record messaging levels, increased volatility is manifesting itself in other notable ways:

  • NYSE Quote Volatility rose sharply last week, reaching levels not seen since the market disruption in January
  • S&P 500 Average Quote Volatility

  • Options market volume continues to reset its standards to higher levels:
    • March 4th and 5th were the 3rd and 4th most-active days in market history
    • The top 10 most active market volume days of all time have occurred in Q1 2021


This month has seen dramatic moves across markets, from rates to mega cap tech to retail favored stocks. With ongoing uncertainty around virus mutation, vaccine rollout, and broader governmental fiscal and monetary response, volatility could very well continue going forward. These macroeconomic factors, along with the upcoming quarterly options expiration and index rebalances, are likely to cause heavy trading volume and messaging traffic over the balance of the month.

i Includes NYSE equities and options exchanges, CTS/CQS, and OPRA

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.