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Question of the Week - Jan 5th 2016

Are MOC volumes changing over time?

 

Chart 1:  MOC Volume as a Percent of Daily Volume for S&P 500 Constituents 

 

Chart 2:  Absolute MOC Volume Trend for S&P 500 Constituents 

  • Locating liquidity is a challenge for traders, especially in today’s increasingly fragmented markets. The closing auction represents a large proportion of overall volume and is growing in popularity, as such, it represents a valuable tool for traders in search of additional volume.
  • Close volume has increased since mid-2011, both in absolute terms and as a percentage of daily volume. By the end of 2015, MOC trading represented around 8% of the day’s volume for S&P 500 index constituents.
  • Closing auction volume has increased in dollar terms as well, from around $75B on average per month in mid-2011 to about $180B per month in the end of 2015.

 

Dollar volumes were calculated by multiplying MOC shares * daily VWAP. MOC volume as a percent of daily volume was calculated for each stock and day and aggregated to a monthly average. S&P 500 stocks were based on ETF constituents for SPY.

 

Refer to Equity Related Analytics for information on available Intra-day 5 minutes statistics.

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