Gains in options market share and NBBO quoting rank
Jul 17, 2024
Options Trading and Quoting Continues to Improve
Highlights & Recent Developments
- MEMX adjusted several equity fee tier requirements given consistently high activity in sub-$1 stocks
- June saw high volume in sub-$1 stocks (17% of total) and high TRF market share (46.2%)
- Index rebalances drove above-average auction volume at 13.9% of total in June
- MEMX Options market share improved to 4.3% of regular electronic volume in June and is tracking at 5.4% month-to-date in July
- Month-to-date in July, regular electronic options market share in the top ETPs was 7.8% in SPY, 4.9% in QQQ, and 6.8% in IWM
- MEMX Options quote performance continues to improve, ranking number 2 out of 17 options exchange in SPY month-to-date in July
Equities Exchange Highlights
Sub-$1 volume accounted for nearly 17% of industry volume in June, contributing to high TRF market share at 46.2%. Given consistently high sub-$1 activity, MEMX adjusted several equity transaction fee tier requirements based on volume in stocks priced at or over $1 per share. This is intended to help member firms better manage their activity levels.
Auction volume was nearly 13.9% of industry volume in June, up from 8.0% in May. Auction activity soared on index rebalance days, accounting for 39% of total volume on June 21st and 37% on June 28th. This volume included exchange opening and closing auctions, as well as off-exchange activity priced at the closing auctions from 4pm to 4:15pm.
In June, MEMX’s add volume mix included 48.7% market maker/prop, 27.8% bank, and 21.2% retail activity. Retail activity included a significant amount of sub-$1 volume.
Options Exchange Highlights
MEMX Options market share was 4.3% of regular electronic volume in June and continued to improve in July to 5.4%. MEMX market share in the largest ETFs was 7.8% in SPY, 4.9% in QQQ, and 6.8% in IWM month-to-date in July. These three ETFs accounted for nearly 24% of option industry volume.
In SPY, MEMX Options quoted at the NBBO 80.2% of the time when a trade occurred. MEMX ranked 2 out of 17 options exchanges based on this quote performance metric.
