August 2014 Market Dynamics Report

OTC Market Share of NMS Securities

• In August 2014, off-exchange trading accounted for 37% of the shares traded in NMS Equity Securities, a decrease of 0.2% compared to last month.

Average Trade/Contract Size

• For NYSE Listed, average trade size was 192 shares, a 3.5% decrease over last month. On a year over year basis, average trade size decreased 18.8%.
• For NASDAQ Listed, average trade size was 200 shares, 3.2% lower than last month. Average trade size decreased 18.6% on an annual basis.
• Average contract size for US Equity Options was 10 this month.

NASDAQ Self Help Declarations

• There was one Self Help declaration in August 2014.

Limit Up-Limit Down Plan

• There were 199 Trading Pauses reported in August 2014 for ticker symbols which were part of Phase 2(b) of the Limit Up-Limit Down rollout. These pauses lasted a total of 18 hours, 46 minutes and 41 seconds. 192 of the 199 pauses this month were for ETPs.

Short Sale Circuit Breaker Analysis

• The FIF Short Sale Tracker maintains a list of trading halts triggered under the Short Sale rule since 2011.
• A total of 1,130 short sale halts were triggered in August 2014. There were an average of 54 halts daily, with a high of 130.

Source:

August 2014 FIF Market Share and Market Dynamics Reports

The Financial Information Forum (FIF) addresses the implementation issues that impact the securities industry, from real-time decision support through securities processing. To join FIF, download the FIF Membership Kit.