The NYSE Closing Auction remains the largest equity liquidity event, trading on average more than $18bn per day1. We have previously studied Closing Auction liquidity, participation, and price dislocation, and now focus on the price impact of auction order submission. We find that the market absorbs most large orders with little impact to the current stock price, especially on standard (i.e., non-rebalance) trading days.
We assess market impact of auction orders by examining the reference price and auction quantities from the auction imbalance data. Key data elements:
3:55 - 4:00pm NYSE-listed Russell 1000 Stocks Imbalance Change Ratio
3:55 - 4:00PM All Other NYSE-listed Stocks Imbalance Change Ratio
3:55 - 4:00pm NYSE-listed Russell 1000 Stocks Reference Price Change
3:55 - 4:00pm Other NYSE-listed Stocks Reference Price Change
3:55 - 4:00pm NYSE-listed Russell 1000 Stocks
3:55 - 4:00pm Other NYSE-listed Stocks
3:55 - 3:56pm Reference Price Changes
3:56 - 3:57pm Reference Price Changes
3:57 - 3:58pm Reference Price Changes
3:58 - 3:59pm Reference Price Changes
3:59 - 4:00pm Reference Price Changes
Activity in NYSE’s Retail Price Improvement Program for stocks not listed on the NYSE has shown strong growth since its launch last December. Tape B activity recently peaked at more than two million shares.
To enhance visibility and understanding of the Closing Auction process, NYSE has introduced a graphical interface with a trailing three months of closing imbalance feed historical data for the 1,000 largest daily Closing Auctions.
NYSE research reviewed option usage trends to end 2022 and start 2023: 2022 options market activity was generally aligned with equity market moves. Average monthly put-call volume ratio in 2022 was higher than 2021 but declined sharply at beginning of 2023. In 2022, floor traded a higher put premium relative to call but a much lower put premium in 2023. Moreover, electronic trading saw more activity in SPY and QQQ, while floor trading saw most activity in HYG. Also, floor trading had a significantly higher put-call ratio than electronic trading for days around FOMC meetings and CPI announcements over most of this period.