To help enable a data-driven, fact-based discussion around price improvement activity, NYSE has published a study quantifying the aggregate price improvement achieved by US equity investors in H1 2022 and analyzing its composition. Our study is based on public TAQ data and evaluates every standard trade in the first two quarters against the prevailing NBBO at that time.
Key Findings
At common trade increments broadly available to all market participants, on exchange trading currently delivers 54% of total price improvement
Just 12% of total price improvement occurs at sub-penny prices, as public investors are largely unable to compete at such price points
Harmonizing pricing rules across the market could yield $6.3MM per day ($1.8B per year) in investor cost savings, based on projected incremental savings if exchanges could offer sub-penny price improvement in a competitive manner
Closing Auction: Immediate market impact, price drift and transaction cost of trading
August 22, 2023
In this analysis, we leverage NYSE’s rich auction imbalance data to better understand market impact in and around the closing auction and provide insights on relationships among order sizes, market impact, and trading costs.
A recent article in the Wall Street Journal pointed out that much of the 2023 market rally in the S&P 500 Index has been focused in eight mega-cap technology stocks. To further examine this trend, we look at some measures that could indicate whether or not retail is driving the trading, and at possible signs of sector rotation among retail investors.
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.