Dollar volumes continue to grow while DLI program increases quoting
Highlights & Recent Developments
- MEMX analysis finds round lot reform could save investors billions over the coming years.
- MEMX Displayed Liquidity Incentive program (DLI) increased NBBO quoting.
- Midpoint executions doubled this past month.
- Dollar volume continues to grow, increasing 19% since May.
Volume & Diversity of Liquidity
On June 1, MEMX introduced the Displayed Liquidity Incentive (DLI) program. Members participating in the program receive a superior rebate when they maintain a one- or two-sided quote of at least one round lot at the NBBO for 25% of regular trading hours in an average of at least 250 securities, including at least 75 DLI target securities. See MEMX trading resources for an overview of the program.
Several firms participated in the DLI program, and the exchange has seen the following benefits:
- Increased NBBO quoting: The number of symbols where the percentage of time quoting at the NBB or NBO was at least 50% during the trading day grew by 21% month-over-month to over 2,900 symbols, on average in June.
- Increased midpoint volume: Midpoint volume grew 153% to 268 million shares in June from 106 million in May (see Chart 1) due to a higher midpoint rebate and improved displayed quoting attracting more liquidity removers.
- Increased dollar volume traded: Dollar volume grew 19% month-over-month to $8 billion per day, rising for the eighth consecutive month (see Chart 2).
MEMX continues to be the fastest growing U.S. equities exchange with a total market share of 2.41% and an exchange market share of 4.30% for the month of June.
During June, MEMX executed an average of 268 million shares a day.