The charts below show the aggregate unexecuted interest available during the Closing Auction near the closing price for specified trading days. By sending orders with looser limit prices, traders may gain access to substantially more volume with only minimal impact to the closing price.
For example, in the S&P 500, 36% more volume could have traded within 10 basis points (bp) of the closing price on an average day in March. In the Russell 2000, 161% more volume could have traded within 50 bp of the closing price.
The above charts show all interest, both displayed and non-displayed (such as LOC orders). Additionally, monitoring the displayed depth on the NYSE leading into the Closing Auction can reveal substantial interest priced near the eventual close.
The Closing Auction accounts for more than 8% of NYSE-listed volume thus far in 2019. As the above data shows, the auction’s liquidity has attracted a deep book of opportunistic volume priced near the eventual closing price. This creates unique liquidity opportunities for traders to execute block-size liquidity with minimal impact by entering LOC orders with looser limit prices or providing further discretion to their floor brokers.
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.
After-hours trading has been a larger piece of the total trading volume since the onset of the pandemic, with retail presence growing stronger and earnings announcements becoming less of a factor. In this post, we examine the impact of these shifting dynamics on after-hours price discovery and order behavior.
The surge in market volatility and trading volumes since the onset of the pandemic in March 2020 has impacted numerous aspects of equity market trading. One less-studied area has been after-hours trading. After-hours has also seen changes in order flow trends and influences, and here we examine trends and shifts occurring in these sessions.