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Question of the Week - July 19th 2016

How much volume trades in the last hour of the day for S&P 500 and Russell 2000 stocks?

 

Chart 1: Average Percent of Daily Volume Traded in the Last Hour of the Day Excluding Closing Auction 

 

Chart 2: Average Percent of Daily Volume Traded in the Closing Auction 

  • Locating liquidity is a challenge for traders, especially in today’s increasingly fragmented markets. The last hour of continuous trading along with the closing auction represent a large proportion of overall volume for US equities, as such, this time period represents a valuable tool for traders in search of liquidity.
  • The first chart shows volume in the last hour of continuous trading for both S&P 500 and Russell 2000 constituents is concentrated in the last fifteen minutes of the day. Roughly 33% of daily volume is traded between 3 and 4PM for Russell 2000 stocks and 28% of daily volume for S&P 500 names. Nearly 20% of daily volume for Russell 2000 stocks is traded in the last fifteen minutes.
  • Closing auction volumes represent around 7% of daily volume for both indices and are relatively stable over the past five quarters.

 

SPY and IWM constituents were equally weighted to represent the S&P 500 and Russell 2000 indices. Data was sourced from ITG’s 5 Minute Bin Intraday Data products.

 

Refer to Equity Related Analytics for information on available Equity Related Analytics.

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