NYSE introduces Daily U.S. Equity Market Statistics Report
Published
September 16, 2024
The latest update to the NYSE Research page offers insight into recent trading and market quality trends in the U.S. equity market highlighting key liquidity, volume and volatility metrics.
You can find the statistics report below the Daily U.S. Market Update. The report contains a series of tables and charts. The focus chart changes each day, but all charts and tables are accessible by scrolling below the charts and tables and clicking on one of the five dots below the charts.
All charts and tables always show data covering the most recent trading day, the last five days, one month and three months for stocks in the S&P 500, S&P 400 and S&P 600. Statistics for the top 25 ETFs by trading volume over the past year are available for the Market Liquidity Index, Liquidity Coverage, Spreads and Quote Volatility. Below is an overview of the report:
- Monday and Friday - Broad overview of trading and liquidity by indicating average daily volume across all stocks in $-billions and billions of shares. The volume data describes how market volumes are impacted by both stocks that trade below $5.00 and those that trade at or above $100. Understanding this dichotomy is important since it can skew market share and perceptions of market-wide liquidity. As of September 10, while sub-$5 volume represented more than 26% of share volume over the trailing three months, it only accounts for 0.8% of notional value traded. Conversely, the notional value of stocks trading above $100 is 60% of notional value traded but is 15% of shares executed.
- Market Liquidity Index chart: A five-day moving average that compares current quote volatility, spreads, and displayed liquidity to the average of the two-year base period starting in July 2021.
- Tuesday: In addition to the Market Liquidity Index chart, we calculate the average shares displayed at the national best price divided by the average per minute volume during core trading hours (excluding auctions). This statistic shows the greater liquidity available in higher volume stocks, which helps to dampen overall volatility, while indicating the greater risk for market moving activity if a large order attempts to aggressively take liquidity in less active securities.
- Wednesday: Returns for the three S&P indexes. This can help highlight investment shifts between small-, mid- and large-cap stocks. Additionally, we emphasize the importance of the closing auction with a chart indicating the percentage of volume executed in the close. Quarterly options expiry as well as important benchmark index rebalances typically result in large increases in close auction share of trading.
- Thursday: Insight into key market quality statistics. The top chart shows average quote volatility in the S&P Indexes and the Top 25 ETFs. We measure quote volatility as the annualized average second-to-second percentage change in the national best price midpoint for each stock. As expected, large-cap stocks have noticeably lower volatility than small-caps. However, ETFs, many of which are broad-based portfolios, have significantly lower volatilities than individual stocks.
- Consolidated quoted spreads in basis points are also shown on Thursday. ETF spreads are very tight due to their construction. Large-cap stocks exhibit far tighter spreads than mid- and small-caps. It can be interesting to compare the movement in spreads, relative to quote volatility and liquidity coverage. Typically, spreads widen when volatility increases sharply, while available liquidity falls.
Conclusion
The Daily U.S. Equity Market Statistics Report offers visitors to our web site a quick overview of recent trends in trading activity and market quality across stocks in the S&P 1500, as well as in the most actively traded ETFs. For example, note the sharp drop leading into the sell-off on August 5 and reversal in the following days.