Q1 2021 Options Review

Data Insights

US Equity Market Activity:
Concentrated Volume and Auction Opportunity

February 9, 2021

Retail trading has dominated market discussion the last two weeks, capping off a run of dramatic growth which began last spring. Market volume set an all-time high on Wednesday, January 27th, which was then nearly broken the next day, while web searches for “Depository Trust & Clearing Corporation” exploded.

To see the varied impact of recent activity on different stocks, below we split the market into 4 distinct tracts: Russell 1000, ETFs, stocks under $5, and all other stocks1.

Market Share Volume Traded

December 2020

Market Dollar Value Traded

December 2020

Market Share Volume Traded

Jan 25 - Feb 5

Market Dollar Value Traded

Jan 25 - Feb 5

Recent market activity has been heavily skewed towards stocks under $5, and those in our “All Other” category. Last week, February 1st through February 5th, trading activity in the most widely-held securities, ETFs and the Russell 1000, quickly returned to previous levels while some volatility measures, such as quote volatility, in these same stocks remained elevated.

Volume Change vs December

NYSE Quote Volatility Measure: Change vs December

Can the Opening Auction Help?

The NYSE Opening Auction has grown with the increase in activity. As expected, growth is concentrated in stocks outside the Russell 1000, however stocks in the Russell 1000 have maintained their Opening Auction liquidity.

Opening Auction Share of Total Market Volume

Examining these auctions further, we see that the source of liquidity in Russell 1000 stocks is less impacted than other stocks, especially when comparing to December 2020. Across all stocks, however, average order size has fallen and the number of very small orders has grown, suggesting increasing participation from retail participants.

We have previously discussed the challenge of finding accessible, on-exchange liquidity in the current high-volume environment. As retail volumes have grown we have seen corresponding volume growth and composition changes in the Opening Auction, making the auction an accessible source for interaction with these flows.

NYSE Market-on-Open Average Order Size

Includes Market DAY orders received prior to the open

NYSE Market-on-Open Orders Less Than 5 Shares

Includes Market DAY orders received prior to the open

1“Russell 1000” includes all stocks in the Russell 1000, regardless of price.

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.