Quote Stability (“QS”) measures movement in the National Best Bid and Offer (NBBO) at various time intervals before and after a trade. QS is represented here as the percentage of traded shares that experience no quote movement at a given time interval. A higher QS value indicates that more trades occur without a related change in market price.
For this analysis, we focus on midpoint trading activity and use the NBBO midpoint as the reference price. Our measurement intervals are from the time of a trade to 30 seconds after the trade, using trades and quotes from the Consolidated Tape (SIP).
QS naturally erodes as more time passes after a trade, as the market is more likely to experience a price change. The chart below shows this trend, up to 30 seconds after trade time. NYSE National is at or near the best QS rate among exchanges throughout this time period.
A new midpoint pricing structure on NYSE National increased liquidity and improved QS. The changes, shown below, were implemented in December 2019. In less than one month, NYSE National grew to 15% market share of Taker/Maker Exchange midpoint volume.2
QS describes the post-trade market volatility likely to occur after a fill, which can help inform venue selection. Taker/Maker exchanges typically have higher QS, and NYSE National has consistently been the strongest exchange for overall QS. The midpoint pricing change resulted in further positive improvements to NYSE National’s midpoint QS, putting it ahead of all other exchanges.
NYSE National’s midpoint market share growth has improved market quality on the venue. NYSE National is a now key part of any exchange midpoint resting strategy, and offers liquidity removers either price improvement or a rebate up to $0.30 per 100 shares. Reach out to [email protected] for more details.
1Measured at a 1 second after the trade interval, excluding exchanges with <1% market share.
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.