Volatility has roared back into the market in March. In contrast to the bleak outlook and dramatic price declines in March 2020, this month has shown decidedly two-way markets with a heavy influence from widely held tech stocks. So far this month, the S&P has on average moved about twice as much per day as it had in January and February. The tech influence is reflected in price moves in the NYSE FANG+ Index, which has shown even more price movement than the broader index.
As market activity and volatility has increased, NYSE Group is handling record levels of message traffic on its systems. Growth peaked on March 4th, when NYSE Group systems handled a record 356 billion messages in a single day. Message traffic on NYSE Exchanges was roughly 2.6 times average Q4 2020 levels and did not cause any change to client throughput or latency experiences.
(Q4 2020 average=100)
Along with daily price action and record messaging levels, increased volatility is manifesting itself in other notable ways:
This month has seen dramatic moves across markets, from rates to mega cap tech to retail favored stocks. With ongoing uncertainty around virus mutation, vaccine rollout, and broader governmental fiscal and monetary response, volatility could very well continue going forward. These macroeconomic factors, along with the upcoming quarterly options expiration and index rebalances, are likely to cause heavy trading volume and messaging traffic over the balance of the month.
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.