Chart 1: Percent of Daily Volume Traded During the Opening Auction
Chart 2: Percent of Daily Volume Traded During the Closing Auction
Average percentage of daily volume is calculated by dividing auction volumes by the total volume for the stock for that day and averaging these percentages across the period. The “Large Cap” universe includes all US listed stocks above $5 billion market capitalization. Y2016 period covers Q1 and Q2 of 2016.
Refer to ITG Equity Related Analytics for information on available Equity Related Analytics.