On Wednesday September 30th the New York Stock Exchange broke new ground by holding two concurrent NYSE Direct Listings — in Asana, Inc. and Palantir Technologies Inc. — along with 4 traditional IPOs, all on one day. The NYSE Trading Floor facilitated price discovery and liquidity for these trading events smoothly and with a high degree of transparency. Asana (NYSE: ASAN) and Palantir (NYSE: PLTR) highlighted NYSE’s ability to consolidate disperse trading interest in a single trade; PLTR’s opening auction was the largest auction ever for an IPO or new listing on NYSE.
Direct Listings allow a company to become publicly-listed without the traditional IPO process. In a Direct Listing, a company’s stock begins trading with an opening auction run by a Designated Market Maker (DMM) on the NYSE Floor, with the opening price set by the natural supply and demand submitted into the marketplace. The Exchange, in consultation with the company’s financial advisor, sets an initial reference price; as orders are submitted to the Exchange and buy and sell interest accumulates, the DMM provides indicative price ranges throughout the price discovery process.
Quote volatility is measured as the standard deviation of secondly returrns, aggregated daily here. The NYSE IPO Avg (excl SPACs) and NASDAQ IPO Avg (excl SPACs) are simple averages across all non-SPAC IPOs in August and September 2020. Similar results are found using medians or Winsorized means across non-SPAC IPOs.
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.