To help enable a data-driven, fact-based discussion around price improvement activity, NYSE has published a study quantifying the aggregate price improvement achieved by US equity investors in H1 2022 and analyzing its composition. Our study is based on public TAQ data and evaluates every standard trade in the first two quarters against the prevailing NBBO at that time.
Key Findings
At common trade increments broadly available to all market participants, on exchange trading currently delivers 54% of total price improvement
Just 12% of total price improvement occurs at sub-penny prices, as public investors are largely unable to compete at such price points
Harmonizing pricing rules across the market could yield $6.3MM per day ($1.8B per year) in investor cost savings, based on projected incremental savings if exchanges could offer sub-penny price improvement in a competitive manner
The New York Stock Exchange is pleased to announce it will host the “NYSE Microstructure Meets AI” academic and industry conference on November 11, 2024.
Trading options contracts on expiration day, also known as short-dated options, averaged more than 40% of SPY options volume in 2023. When Wednesday expirations were added to five ETFs1 in November 2023, short-dated trading has gained market share in all five of them. The industry has been discussing the reasons behind the short-dated trading phenomenon and debating whether additional expirations should be considered for single stocks.
2023 was an exceptional year for global equity ETPs. Until the fourth quarter, profits were limited generally to a few tech companies, but gains broadened in Q4. We review fund flows, returns and activity in multiple equity ETP categories.