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Q1 2021 Options Review

Data Insights

Q1 2021 Options Review

James Chu

Manager, Research and Analytics, NYSE

John Fischer

Manager, Strategy and Research, NYSE

April 7, 2021

After an extraordinary 2020, the pace of trading activity in the options markets accelerated at the start of 2021. Out of the gate, January multi-list options volume averaged a record 42.1 million contracts per day. Prior to 2020 there had never been a single day with options volume of 40+ million contracts.

January was an active month against the backdrop of an ongoing pandemic, hopes for fiscal stimulus, increased political protests, a Presidential Inauguration and concentrated trading in stocks such as GameStop. Options volume was high around each of these events, but the GameStop volatility in particular drove new daily volume records on January 25 (now the 6th highest day) and January 27, which marks the current record of 57.1 million contracts. In all, four days from that week are in the top 10 of all time, and it easily posted the highest weekly average daily volume (ADV) ever.

February also averaged over 40 million daily contracts and March is now the third highest ADV month, making Q1 2021 the highest options volume quarter of all time. At 40.1 million contracts, ADV is an astounding 45% higher than 2020’s record-breaking year.

Equity and ETF Options ADV

*2021 projected using YTD volume through 3/31/21

Market Quality

Amidst the high volume, options quoted spreads (in bps) widened 21% from Q4 to Q1. While posted notional size took longer to recover from pandemic lows, it increased 60% in Q1 from Q4, recording the largest posted value since we began tracking the metric in 2019. The increased posted size was across a vast majority of symbols rather than concentrated in a small subset.

Quoted Spread (bps) and Posted Notional Size

The Unmatched Liquidity Index also gradually recovered to a pre-pandemic level of 97.4 last seen in January 2020.

Unmatched Liquidity Index

Volume Concentration

SPY concentration continued to decrease and in Q1 represented 10.9% of industry options volume, its lowest level since Q1 of 2010. This can partially be explained by the AAPL and TSLA stock splits last year, as options volume in those two names now account for 6.8% of industry volume. Four of the top Reddit names (AMC, BB, GME, NOK) accounted for 4.1% of Q1 industry volume, up from 0.9% in Q4 2020. ADV in those names was up 534% quarter-over-quarter.

Symbol Concentration


As the quarter ended, volatility subsided, and multi-list volume declined from regular 40+ million contract days. However, risks remain present, as the market reacted to the rapid rise in 10-year treasury yields that led to declines in long duration assets. The question remains whether 2021 volume levels are the new normal for the U.S. Options industry, or if we are trending back down to 2020 levels or lower. Follow our quarterly Options posts to stay up to speed on these trends.

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.