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
Following the record-setting 40.1 million average daily volume (ADV) in the 1st quarter of this year, Q2 2021 options volume was the 2nd highest of all-time with 37.6 million contracts traded per day. Robust volume was driven in part by market anticipation of a potential earlier rise in interest rates and Fed tapering, as well as increased volume in options on new issues and continued activity in retail-focused stocks.
Financial Markets Focus on Climate »
As governments, corporations, and individuals focus more on human impact to the environment, international financial markets have responded with innovative products to help manage climate risk and invest in mitigating technologies.
Market Making and the NYSE DMM Difference »
Market makers play a key function in markets, committing capital to bridge timing differences between buyers and sellers. With the industry debating underlying market structure tenets such as tick sizes there has been renewed focus on different types of market making activity.