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Update on NYSE Closing Auction Depth of Book


Authors
Glenda Castaneda-Dawkins
Manager, NYSE Research

Kevin Tyrrell
Head of NYSE Research

Published
June 22, 2022

The NYSE closing auction remains the largest liquidity event in the equities market, with an average notional value traded of more than $20bn per day in the 2nd quarter of 2022. While the auction accounts for nearly 10% of daily trading volume in NYSE-listed S&P 500 securities, there is substantial additional volume that remains unexecuted in each auction. Often, this additional liquidity resides relatively close to the auction execution price.

The below charts show the cumulative available liquidity at various price points near the closing auction price for large, mid, and small cap securities during March 2022. We further divided trading activity into distinct trading events: the quarterly rebalance, the quarter-end close, and all other standard trading days. The charts depict the cumulative volume that was available for execution in the closing auction from resting continuous market limit orders and orders directed to the closing auction, expressed as a percentage of each stock’s consolidated average daily volume.

Additional Liquidity Near the Closing Price

NYSE-Listed S&P 500

resting liquidity as % of consolidated average daily volume

Additional Liquidity Near the Closing Price

NYSE-Listed S&P 400

resting liquidity as % of consolidated average daily volume

Additional Liquidity Near the Closing Price

NYSE-Listed S&P 600

resting liquidity as % of consolidated average daily volume

As the above charts highlight, there has been significant additional liquidity available to trade in the closing auction at prices relatively close to the actual auction price. In many cases, we see even more liquidity for special event trades such as rebalances and quarter-end days. Prior NYSE Research work on the market impact of orders added to the closing auction can provide context on market price changes associated with large orders added to the closing auction, on both standard and event days.

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