April 2021 US Structure Monthly

US Market Microstructure Observations

• The average daily volume in US equities was 9.9B shares in April 2021, down 26.1% month over month and down 19.5% year over year.

• Trade reporting facility (TRF) market share increased 1.9% month over month to 43.7% in April 2021.

• Excluding the first and last half hour of the day, median spreads shrank by 21.4% and 16.6% month over month for S&P 500 and RUS 2000 symbols, respectively, in April 2021.

• Consistent with the trends in spreads, intraday volatility dropped by 31.6% and 36.6% month over month for S&P 500 and RUS 2000 symbols, respectively, in April 2021.

• The proportion of volume traded in the close auction volume for S&P 500 symbols reached 13.2% in April 2021, versus 9.8% a year ago.

Market Structure News

SEC to Explore Rules For Apps That “Gamify” Trading SEC Chairman Gary Gensler told lawmakers that the regulators are studying whether to impose new restrictions on brokerage apps that use appealing visual graphics to reward a user’s decision to trade. In addition, Mr. Gensler said the SEC was examining the system of payment for order flow as well as potential regulatory changes in response to Archegos Capital Management. https://www.wsj.com/articles/secs-new-chairman-set-to-field-questions-on-gamestop-archegos-11620306010

New SEC Enforcement Director Alex Oh Resigns Days after her appointment, the new enforcement chief for the SEC Alex Oh resigned following a judge’s order questioning her conduct in a lawsuit involving Exxon Mobil. The enforcement director is the SEC’s most high-profile staff job, managing a division of 1,300 people. Melissa Hodgman will step-into the role on an acting basis. https://www.wsj.com/articles/new-sec-enforcement-director-alex-oh-resigns-agency-says-11619644474

SEC to Examine Fund Disclosure Rules After Archegos Blowup SEC officials are exploring ways to increase transparency for derivatives and short positions, potentially through changing rules around Forms 13F and 13D. Investment firms that own shares worth more than US$100 M must disclose their portfolios every quarter through 13F filing, while funds issue a 13D whenever their stake in a single company exceeds 5%. However, currently, swaps and other derivatives, as well as short sells, are exempt from 13F and 13D filing requirements, which allowed Archegos to amass huge positions using swaps without having to file a 13F or a 13D. https://www.bloomberg.com/news/articles/2021-04-21/sec-said-to-examine-fund-disclosure-rules-after-archegos-blowup?sref=GrQuSk5T

SEC Seeks to Regulate Special Purpose Acquisition Companies John Coates, an acting director at the SEC, released a statement warning special purpose acquisition company (SPACS) against issuing enticing but misleading statements about their growth. Furthermore, the SEC is setting forth new guidance on treating warrants, which are often included as a deal sweetener for early , as liabilities for accounting purposes. https://www.wsj.com/articles/sec-seeks-clearer-disclosures-to-investors-of-spac-deals-11617908245 https://www.bloomberg.com/news/articles/2021-04-12/spac-boom-faces-latest-threat-from-sec-in-accounting-discussions?sref=GrQuSk5T

1 Market Structure News Continued

SEC Review of Socially Responsible Funds The SEC said it has found potentially misleading claims and inadequate controls around environmental, social and governance (ESG) issues in a review of investment advisors and funds. https://www.reuters.com/article/us-usa-sec-esg/u-s-sec-review-of-socially-responsible-funds-finds-potentially-misleading-claims-idUSKBN2BW2SZ

NYSE allowing More Vaccinated Staff to Return NYSE is allowing companies to repopulate its trading floor if all of the employees at the site show proof of vaccination. https://www.bloomberg.com/news/articles/2021-05-03/nyse-says-more-staff-can-return-to-trading-floor-if-vaccinated?sref=GrQuSk5T

CME Group to Close Most of Its Trading Floors Permanently CME announced that it would not reopen a number of trading pits that it closed temporarily in March 2020. The products that would have their trading floors shut down include agricultural , as well as equity index futures and options. https://www.wsj.com/articles/cme-group-to-close-most-of-its-trading-pits-in-chicago-permanently-11620175341

2 Average Daily Market Volume

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

April 2021 15.0B Average Daily Volume 9.9 B

10.0B

5.0B

0.0B

2017 2018 2019 2020 2021

Source data: Cboe Global Markets

Venue Market Share

39.9% 37.7% 36.6% 41.6% 41.9% 42.2% 43.2% 40.4% 42.7% 43.4% 41.8% 44.1% 45.8% 47.2% 46.6% 43.7%

16.6% 17.2% 16.0% 16.2% 16.2% 17.6% 18.8% 16.2% 16.6% 17.7% 17.3% 15.9% 15.5% 15.6% 15.0% 15.6% 12.3% 13.0% 13.0% 10.8% 10.4% 10.6% 10.3% 10.2% 9.9% 10.5% 9.6% 9.8% 11.6% 10.1% 8.4% 7.9% 9.9% 7.8% 9.3% 9.1% 9.0% 8.3% 8.2% 8.1% 8.8% 8.8% 8.6% 8.4% 8.9% 8.2% 9.3% 8.5% 7.6% 6.9% 4.9% 5.0% 7.8% 6.2% 5.9% 5.6% 5.7% 5.2% 5.4% 5.3% 5.0% 4.4% 5.3% 5.0% 4.9% 5.8% 6.4% 7.7% 6.7% 6.9% 5.5% 5.3% 4.8% 5.3% 4.3% 8.3% 7.9% 7.2% 5.7% 5.2% 5.4% 6.1% 6.4% 6.6% 6.7% 7.0% 6.8% 7.4% 7.2% 7.2% 7.8%

Jan 20 Feb 20 Mar 20 Apr 20 May 20 Jun 20 Jul 20 Aug 20 Sep 20 Oct 20 Nov 20 Dec 20 Jan 21 Feb 21 Mar 21 Apr 21

TRF NYSE (N) Inverted EDGX (K) MEMX (U) (Q) NYSE Arca (P) BZX Equities (Z) IEX (V) Other

Source data: Cboe Global Markets

3 ATS Market Share UBS Morgan Stanley JP Morgan 18.6% 18.5% 18.7% Credit Suisse 21.5% 21.9% 20.2% 20.4% 20.9% 19.3% 20.3% 20.4% 20.0% 19.4% 19.1% 19.9% 19.9% Level 8.1% 8.2% 9.7% 11.8% 11.6% 10.7% 9.2% 9.5% 9.2% 9.1% 8.7% 9.0% 9.3% BIDS 10.8% 10.1% 9.4% Virtu 9.4% 9.1% 8.8% 9.5% 9.4% 9.6% 10.0% 9.7% 8.3% 8.3% 9.6% 9.8% 7.7% 7.9% 9.2% 9.4% Other 9.3% 8.7% 9.4% 8.6% 9.9% 10.1% 10.1% 9.3% 8.8% 8.8% 9.0% 10.6% 10.4% 11.5% 10.8% 10.6% 9.7% 9.5% 9.4% 9.9% 9.8% 8.9% 8.5% 9.6% 9.0% 10.0% 10.2% 8.9% 9.1% 7.9% 8.5% 9.1% 7.1% 7.2% 7.2% 7.3% 7.4% 7.2% 6.9% 6.9% 6.5% 6.5% 6.5% 6.8% 7.6% 7.9% 7.5% 7.8% 3.7% 4.0% 4.4% 4.3% 4.3% 4.5% 5.8% 5.9% 6.5% 4.9% 4.7% 4.5% 4.8% 5.8% 5.7% 5.4% 5.6% 5.9% 4.5% 4.4% 4.6% 5.4% 4.8% 4.6% 4.7% 4.8% 4.5%

25.8% 26.8% 27.3% 26.3% 26.9% 26.4% 27.2% 27.5% 28.2% 27.0% 26.4% 23.4% 23.2% 21.8% 23.5% 23.2%

Jan 20 Feb 20 Mar 20 Apr 20 May 20 Jun 20 Jul 20 Aug 20 Sep 20 Oct 20 Nov 20 Dec 20 Jan 21 Feb 21 Mar 21 Apr 21

Excludes Dealerweb, OTC; Venues rolled up to firm level; Source data: FINRA

OTC Non-ATS Market Share

Citadel Virtu 24.1% 28.3% 31.3% 32.8% 33.0% 31.2% G1 34.1% 35.8% 35.1% 35.4% 35.6% 37.1% 36.8% 36.2% 39.3% 39.5% Two Sigma Other

24.0% 24.0% 24.0% 27.0% 27.0% 28.4% 26.2% 25.9% 25.5% 30.4% 28.4% 25.2% 27.7% 27.6% 11.3% 27.7% 29.6% 12.0% 13.3% 11.8% 12.2% 12.1% 11.5% 12.1% 12.0% 5.5% 6.9% 10.6% 11.2% 11.4% 9.5% 5.6%

37.1% 32.3% 27.4% 24.4% 23.3% 23.1% 23.9% 23.4% 23.0% 25.5% 24.5% 20.2% 20.7% 22.1% 19.2% 20.4%

Jan 20 Feb 20 Mar 20 Apr 20 May 20 Jun 20 Jul 20 Aug 20 Sep 20 Oct 20 Nov 20 Dec 20 Jan 21 Feb 21 Mar 21 Apr 21 Source: FINRA, NMS Tier 1 & 2 Securities 4 TRF Block Volume Breakdown (Shares) OTC Block Quantity 40B ATS Block Quantity

30B B B 1 1 . . B B B 0 6 8 B 0

20B . B 1 . 3 3 2 . 1 B . 2 0 . 8 B B 3 0 6 3 . 6 2 B B B B B 9 1 B 2 . . 3 B 2 B 7 8 2 8 7 4 . . . . . 0 1 2 4 . 9 . . 7 6 8 7 7 2 2 7

10B 5 4 1 1 1 1 1 1 1 1

0B 9 0 0 1 0 0 1 0 0 0 0 9 0 0 1 9 0 0 1 2 2 2 2 2 2 2 2 2 2 1 2 2 2 1 2 2

l r r r t t c c v v y b b n n n g p u c c a a p e e a o o e e e a a u u J J J O O J A F F D D S A N N M M M

Source: FINRA

ATS Block Volume Market Share BIDS Liquidnet H2O Instinet BlockCross 25.3% 25.5% 23.2% 25.7% 25.1% 22.6% 29.8% 31.2% 30.4% 29.7% 30.5% 31.3% 27.7% 28.5% 27.9% 28.6% 28.1% 26.4% Virtu Posit Liquidnet Negotiati.. 10.4% 10.1% 10.6% 11.2% 11.0% 9.5% 9.6% Other 10.9% 11.1% 11.3% 12.1% 11.9% 12.1% 12.2% 11.5% 12.6% 10.1% 10.8% 8.3% 8.8% 8.2% 8.6% 8.6% 8.6% 9.3% 8.0% 8.7% 9.1% 9.6% 8.6% 8.5% 9.1% 8.0% 7.2% 11.0% 10.9% 8.3% 9.9% 7.4% 7.3% 7.4% 6.9% 6.8% 7.1% 7.2% 6.7% 7.4% 6.6% 7.2% 6.0% 8.1% 7.0% 7.7% 6.3% 6.9% 6.8% 6.3% 6.3% 6.7% 6.4%

43.7% 42.4% 44.3% 43.1% 43.8% 45.8% 40.1% 37.6% 38.0% 38.5% 40.4% 32.6% 33.5% 34.9% 37.0% 36.3% 35.4% 36.7%

Oct 19 Nov 19 Dec 19 Jan 20 Feb 20 Mar 20 Apr 20 May 20 Jun 20 Jul 20 Aug 20 Sep 20 Oct 20 Nov 20 Dec 20 Jan 21 Feb 21 Mar 21

Excludes Dealerweb; Blocks defined as >10K shares; Source data: FINRA

OTC (Non-ATS) Block Volume Market Share Citadel Virtu Morgan Stanley 14.6% 14.9% 13.5% 13.9% 14.6% G1 20.8% 21.4% 20.7% 20.2% 23.3% 24.4% 21.1% 22.7% 23.8% 23.9% 31.4% 31.2% 25.6% 8.4% 9.1% 9.9% 10.3% Goldman Sachs 10.5% 12.7% 10.2% 10.5% 11.2% 16.8% 18.1% 13.4% 12.6% Two Sigma 11.5% 16.8% 18.7% 16.2% 15.2% 17.1% 16.1% Other 8.1% 9.5% 9.9% 8.2% 21.6% 23.0% 11.4% 12.2% 13.5% 10.8% 8.8% 9.0% 10.6% 8.7% 8.5% 9.2% 9.0% 10.4% 8.7% 8.9%

48.8% 46.1% 47.4% 46.7% 44.5% 39.5% 38.0% 33.1% 33.1% 33.9% 31.4% 33.5% 37.2% 33.6% 31.6% 35.6% 25.7% 27.4%

Oct 19 Nov 19 Dec 19 Jan 20 Feb 20 Mar 20 Apr 20 May 20 Jun 20 Jul 20 Aug 20 Sep 20 Oct 20 Nov 20 Dec 20 Jan 21 Feb 21 Mar 21

Blocks defined as >10K shares; Source data: FINRA

5 Quotesize in Shares

2Q 20 3Q 20 4Q 20 1Q 21 2Q 21 Apr 20 May 20 Jun 20 Jul 20 Aug 20 Sep 20 Oct 20 Nov 20 Dec 20 Jan 21 Feb 21 Mar 21 Apr 21 First 30 Min SP500 184 196 200 207 205 204 206 201 197 192 193 191 188 RUS2000 194 200 206 209 207 207 225 226 228 216 217 222 231 Mid Day SP500 177 197 204 212 220 215 206 206 206 201 204 195 198 RUS2000 198 209 218 227 235 233 236 236 232 223 220 207 216 Last 30 Min SP500 200 229 229 242 264 239 236 231 233 231 238 217 225 RUS2000 228 239 243 264 283 272 274 263 260 250 255 225 238

Spread Bps

First 30 Min SP500 19.4 11.8 11.0 10.4 9.6 11.0 13.0 14.7 12.4 13.2 13.6 13.2 10.3 RUS2000 87.0 65.2 56.7 50.6 41.8 44.7 57.1 67.2 60.3 63.2 61.8 67.0 57.7 Mid Day SP500 8.4 5.7 5.3 4.8 4.2 5.3 6.4 6.5 5.4 5.7 5.3 5.6 4.4 RUS2000 34.8 25.0 23.3 20.2 17.1 18.9 24.9 26.9 24.6 26.8 25.5 27.7 23.1 Last 30 Min SP500 5.8 4.2 3.8 3.3 3.0 3.6 4.2 4.5 3.8 3.7 3.6 3.8 3.1 RUS2000 25.1 19.3 18.2 15.4 13.5 15.0 18.9 21.2 19.1 19.7 19.3 20.8 17.5

One Minute Volatility Bps

First 30 Min SP500 32.8 24.5 23.3 19.5 16.0 20.1 16.0 20.2 15.3 17.5 18.7 18.8 14.5 RUS2000 40.8 33.2 31.3 25.3 23.7 26.0 16.9 20.9 16.5 20.7 22.1 25.8 18.4 Mid Day SP500 14.4 9.6 9.7 7.6 5.9 8.4 7.1 7.7 5.8 6.9 6.7 7.9 5.4

RUS2000 16.4 11.9 11.5 9.1 7.0 8.3 5.7 6.3 5.3 6.6 6.9 9.3 5.9 Last 30 Min SP500 17.0 11.5 11.5 8.9 6.9 9.9 7.8 8.9 6.8 7.6 7.3 8.8 6.2 RUS2000 20.1 15.0 14.8 10.2 7.7 9.9 7.3 8.8 7.4 8.7 8.7 11.8 7.5

Percent ADV by Time of Day

Open SP500 1.1% 1.0% 1.1% 1.0% 1.1% 1.0% 1.1% 1.1% 1.1% 1.3% 1.2% 1.1% 1.3% RUS2000 0.8% 0.9% 0.9% 0.8% 0.9% 0.8% 0.9% 0.9% 0.8% 0.9% 1.0% 0.9% 0.9%

First 30 Min SP500 8.7% 9.4% 9.1% 9.6% 9.9% 9.5% 9.2% 10.3% 9.5% 9.6% 10.1% 9.2% 9.6%

RUS2000 7.0% 7.9% 7.3% 7.6% 8.2% 8.0% 7.6% 8.4% 7.8% 8.1% 8.7% 8.4% 8.1%

Last 30 Min SP500 17.7% 17.7% 17.9% 18.3% 18.7% 17.9% 18.1% 17.4% 17.4% 16.9% 17.2% 17.6% 17.8%

RUS2000 18.9% 18.7% 18.5% 20.0% 19.8% 18.7% 19.8% 18.8% 19.0% 18.5% 18.6% 18.6% 19.3%

Close SP500 9.8% 9.0% 10.3% 9.9% 10.5% 12.0% 11.0% 10.7% 13.7% 12.0% 10.6% 11.9% 13.2%

RUS2000 8.9% 8.3% 8.9% 9.4% 7.9% 9.6% 9.3% 9.9% 10.6% 10.0% 8.3% 9.2% 9.5%

Median used for all metrics One minute volatility is calculated using the difference between the high and low price within a one minute time bin, divided by that bin’s VWAP Source data: Virtu Financial

6 Hidden Trades Proportion by Price and Venue

Low Priced Names (Bottom 30%) Medium Priced Names (Mid 40%) High Priced Names (Top 30%)

40%

30%

20%

10%

0%

Dec 18 Jun 19 Dec 19 Jun 20 Dec 20 Dec 18 Jun 19 Dec 19 Jun 20 Dec 20 Dec 18 Jun 19 Dec 19 Jun 20 Dec 20

Oddlot Trades Proportion by Price and Venue

Low Priced Names (Bottom 30%) Medium Priced Names (Mid 40%) High Priced Names (Top 30%)

80%

70%

60%

50%

40%

30%

20%

10%

0%

Dec 18 Jun 19 Dec 19 Jun 20 Dec 20 Dec 18 Jun 19 Dec 19 Jun 20 Dec 20 Dec 18 Jun 19 Dec 19 Jun 20 Dec 20

Amex Bats-Z Edge-X Nasdaq Phlx Arca MEMX NSX Bats-Y Edge-A MIAX NYSE

Source data: SEC 7 ABOUT VIRTU

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