Market Liquidity Update: 112 Stocks Now Account For Half The Day’s Trading Volume

Posted By on September 13, 2010

Hmm, this is a rather stunning study to say the least.  And people wonder why there is a flight from equities into bonds.


The latest Abel/Noser analysis has been released and according to the data analytics firm just 112 stocks now account for half of the day’s volume, the top 20 stocks account for 26% of all domestic volumes, and the first 1,029 stocks are responsible for 90% of all volume, meaning the remaining 17,349 account for just 10% of all dollar traded. These are also the stocks where HFT will never tread, so if anyone wishes to avoid the HFT marauders, just stay away from the top names. And since the last time we did an update, there have been some notable changes in the top 10 most traded names: in June, courtesy of the GOM catastrophe, BP and Exxon were solidly in the most traded stocks. Since then they have fallen way down in the listing, having been replaced with two other M&A candidates, HP and Potash, in 7th and 10th place, respectively. Intel has also done a great job of getting raped daily by HFTs, moving up from 19th place, to 8th. Yet not surprisingly, as the total volume of shares has fallen off a cliff since June, the 16th most active stock, Google, just barely makes the $1 billion in principal traded day cutoff at 16th place, while in June, all of the top 20 names were trading above $1.2 billion notional daily. And once again, just like every other month, the most actively traded security continues to be the SPY. As ever more of the volume is concentrated in fewer and fewer stocks, it is certain that one day, when a top 10 name crashes, it will take the the entire market with it.  Add to that… continue to trade near record-high implied correlations.

Here are the specific findings from August data:

  • SPY (SPDR Trust Series 1) accounted for over 10% of the total domestic principal traded.
  • The cumulative volume of the top twenty equities, sorted by average daily principal traded, represent over 26% of domestic principal traded.
  • Once you reach just the 112th  ranked symbol, you have accounted for over half of a day’s volume.
  • The first 1,029 names account for a full 90% of all volume.
  • The remaining 17,349 equities* account for the remaining 10% of all dollars traded.

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