On November 3, 2025, as part of amendments to certain provisions of Regulation National Market System (“Regulation NMS”), the SEC introduced new “Round Lot” definitions under the Market Data Infrastructure (MDI) Rules. Below we examine the trading impact of these changes on affected securities. Notably, 250 securities were impacted by the revised round lot size definition.

The revised definition introduces four round lot tiers based on the price of each security (Table 1). The assignments are updated semiannually (May and November) based on the average closing price of each security during the evaluation month (March and September).

Of the 250 securities affected by the revised round lot definition, our analysis concentrates on those that trade most actively—specifically, securities with average daily notional volume of at least $1 million and whose round lot size was reduced from 100 shares to a smaller tier. Table 2 summarizes both the full set of impacted securities and the subset that meets our actively traded criteria.

Alongside the 250 securities with revised round lot sizes, we selected stocks with an average closing price between $200 and $250 during September 2025 and an average daily notional volume of at least $1 million. These stocks did not have their round lot size reduced and serve as the control group for comparison with actively traded securities that received a smaller round lot size.

We analyze spreads during two distinct periods:

In contrast, the securities in the control group experienced a notable increase in their median consolidated round-lot spread during the post-amendment period. The median consolidated round-lot spread for stocks in the control group rose by 21% when comparing the pre-amendment and post-amendment periods. This increase suggests that reducing the size of the round lot contributed to a decrease in consolidated round-lot spreads for the impacted securities, while the control group experienced an increase. Table 3.1 presents the median consolidated spreads for the control group.

Top of book liquidity decreased significantly between the two periods, especially for the 100-to-10 round lot group, which saw a 76% reduction in average depth (Table 4).

Table 4 illustrates that top-of-book liquidity decreased in securities impacted by the round lot adjustment, whereas the control group experienced a 5% rise in average top-of-book liquidity following the amendment.

Table 4.1 presents the rise in liquidity observed within the Control Group.

In addition to evaluating changes in top of book liquidity, we also assessed how the round-lot size adjustments affected depth further down the order book—specifically at depth levels 5 and 10.

We compare liquidity in the following windows:

In both tables, the % Change column reflects the decline of notional value available at depth levels 5 and 10 when comparing the two weeks before period to the two weeks after period. For both groups of securities affected by the round-lot reduction, depth beyond the top of book decreased significantly, with larger percentage declines observed for securities moving to a ten share round lot.

Table 5 shows the changes in the cumulative notional value at depth level 5 and depth level 10 at the primary exchange of the impacted securities. Depth at level 5 (10) is defined as the 4th (9th) closest prices worse than the best bid (offer).

Table 5 Impacted Securities Only

Table 6 summarizes the decline of the notional value available at depth levels 5 and 10 at the primary listed exchange for each of the impacted securities.

Reduced liquidity in affected securities has changed trading patterns. While top-of-book liquidity is now easier to access due to tighter bid-ask spreads, deeper order book levels have less liquidity, making large trades more difficult and costly. Smaller trades see improved pricing, but larger ones face wider spread-to-fill from limited depth. Our analysis compares spread costs at the primary exchange for different trade sizes before and after the round lot adjustment to show how liquidity and transaction costs have shifted.

Table 7 illustrates the average spread-to-fill different order sizes for the securities impacted by the round lot change.

The decrease in spread necessary to execute a $25,000 order within the 100-10 round-lot groups illustrates that reducing the minimum round lot size has increased accessibility for market participants to order sizes formerly smaller than the previous 100 round-lot threshold.

Table 7.1 illustrates the average spread-to-fill different order sizes for the securities within the control group.

The spread-to-fill for securities within the control group (kept at 100 share round lots) show little change for orders with notional value less than $250,000. The increase in spread-to-fill a $25,000 is consistent with a separate finding that their round-lot spreads widened 21% in the post-amendment period (see table 3.1)

Moreover, ETPs saw a 21% drop in average top-of-book liquidity after the round lot size change, almost half the decline seen in corporates.

Our analysis shows that the revised round lot definitions led to narrower quoted spreads and a decline in liquidity at the top of the book as well as at deeper levels. These effects were significantly more pronounced in corporate equities than in ETPs.