99 Stocks Account For Half Of Day's Trading Volume As Liquidity Concentrates In Ever Fewer Stocks

Tyler Durden's picture

The attached liquidity analysis by Abel-Noser indicates that the US stock market has now become a concentrated pool in which just the top 99 stocks account for 50.09% of total domestic trading volume. In June, the top 20 stocks accounted for 28.94% of all domestic volume, an increase of 2.2% over May's 26.7% and a record. The HFT algos are increasingly trading less and less stocks in their attempt to corner just the most liquid stocks. Indicatively, the top 978 names represented 90.01% of total domestic volume, while the remaining 17,597 accounted for just 10% of all dollars traded. Of this, the bottom 12,112 stocks represented less than 0.05% of daily domestic volume. The top 5, or better known as the HFT's dream team, were: SPY (10.5% of total domestic volume in June), AAPL (2.84%), IWM (1.92%), QQQQ (1.71%) and BP (1.39%). Oddly enough such previous HFT darlings as C and BAC barely made the top 10.

Some other observations from the analysis:

  • Generally speaking, liquidity was more concentrated towards fewer securities in June than in May.  The cumulative volume of the top twenty securities represents 28.94% of domestic principal traded. In May, it was 26.7%.
  • Once you reach just the 99th ranked symbol, you have accounted for over half of a day’s volume. In May,  the top 113 ranked symbols accounted for half the day’s volume.  The first 978 names account for a full 90% of all volume. In May this figure was 1,048 names.
  • For the 3rd time in 4 months, the top 4 traded symbols have been SPY, AAPL, IWM, and QQQQ respectively.
  • The remaining 17,597 securities account for the remaining 10% of all dollars traded. This figure was 18,697 securities in May. The bottom 12,112 names traded in our universe accounted for less than 0.05% of total daily domestic volume traded

Supporting data:

h/t Walek and Associates

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bugs_'s picture

int stocks[100];


metastar's picture

for (int i = 0; i < 100; i++)

    stocks[i] = 0;


return 0;

Mikebrah's picture

Anyone see that 3 point spike in SPY after hours or was that just me? 

*Using Etrade

Noah Vail's picture

That's better, Ty, much better - thanks for that.

News we can use.


Go look at Denninger's post for Monday night. He's got a video of flash bidding going on for three hours straight. In case you ever doubted how they do it.

Rainman's picture

....yeah, and with Karl narrating, it seemed like an old Rod Serling Twilight Zone episode. The big fake order popups were like watching spaceships appear and disappear. Look.....there it is again !!

Funny, bizarre and sickening all at the same time.

ZeroPower's picture

Means nothing - a desk runs an algo to flash bids to sway the offer side. Happens in these top equities mentioned above as well. Algos eating algos, whatever.

New_Meat's picture

bbbbbut I thought that Jesse Livermore committed suicide back when.  Wow. - Ned

jbc77's picture

You have to give props to Karl for pointing that out. Thats what makes Denninger & Zerohedge so important. To the less inclined, the gaming becomes obviously, it educates people.

I honestly think both Denninger & ZeroHedge have become two of the most important educational tools on the web.

Like today for instance, the bullshit games railing the market higher, you can see it, you know it and then zerohedge confirms it.

We only have a shot at changing things if we educate people to what really goes on behind the curtain...





SamThomas's picture

I second that.  Karl is brilliant and relentless. By the way, the distribution of volume between just a few names reminds me a lot of the top of the tech and SPX bubble in 1999/2000--at the end, most of the trading was in between ten and twenty stocks.

bullandbearwise's picture

Ahem, only AAPL and BP are stocks.

AccreditedEYE's picture

DAMN... YOU... TO.. HELL, AAPL!!! One day reality will catch you and crush your "darling" status!! (How is $240 holding??! Computers helping computers!)

DosZap's picture

A Eye,

Well, at least it's still down $17.00 from last week.

Young's picture

20% of QQQQs are AAPL. But soon AAPL shall die.

juwes's picture

Forget 240.  Look for 180.  This stock will be a darling for as long as people use their mortgage savings on Ithings.  This should be about 2 more years.  Implosion in AAPL is a long way off.

My last defense of aapl.  I'm just warning you guys with irrational hatred of the invisible entity headed up by Jobby that your time is better spent finding legitimate skyrocketing turds that have no business being valued as greater than poo.

Mr Lennon Hendrix's picture

Naw.  Aapl's impending doom is not far off.  I will put it at 6 months to be $99 per.  This when gold is at $1850 and the Dow is ranging between 7500 and 8500.  Maybe next Xmas I will buy my first apple product in many years, if the price is right, which I bet it will be.  After all, how much longer can America have this epic firesale we have had for the last 2 years?  1 more?

New_Meat's picture

Dos, glad to see your blood-pressure is down.  Gettin' me worried. - Ned

AccreditedEYE's picture

I hear you Dos... and I am happy, but I can't relax till that floor is taken out.

OutLookingIn's picture



29,709 trade volume at 10.05%

978 trade volume at 90.01%

Manipulated? No not much!

Rainman's picture

I thought F and F were volume pack leaders. Have they been pinksheeted since May ?? My, how time flies !

faustian bargain's picture

the bottom 12,112 stocks represented less than 0.05% of daily domestic volume

holy cow.

New_Meat's picture

Let's see, narrowing market breadth means ... ? - Ned

Mr Lennon Hendrix's picture

"Danth pawty!"  Squealed Bawknee as he turned on the O'Jays "For the Love Money".  Timmah got up off his bean bag from where he was playing the PPT 8 bit Nintendo game and did the funky chicken.  A drunken BS came in from his usual perch on the porch, with a Malibu and Coke in hand, and did the running man, spilling his drink all over the floor.  LawWrench slept on the back hammock, drool spilling down his cheek.

"For the love of monie!"  The gang sang.  "The all mighty doelarr!"

buzzsaw99's picture

Pay no attention to the man behind the curtain.

Buttcathead's picture

there's no place like home x3 even if I can't tote the note

Mr Lennon Hendrix's picture

The market has 99 problems but a b**** ain't one, hit me!

Mr Lennon Hendrix's picture

Ben Bernanke had dirty cowboy boots on....my brother had these brand new couches, they were suede, he gets on the couch and says, "Why don't I strech out!"  And starts grindin' mud into the couch, man!  Then he said, "Fuck yo couch nigga!  Buy another one you rich motha fuckas!"

Village Idiot's picture

"my brother had these brand new couches, they were suede, he gets on the couch and says, "Why don't I strech out!"  And starts grindin' mud into the couch, man!  Then he said, "Fuck yo couch nigga!  Buy another one you rich motha fuckas!"

Hey, what's my hand say? Slap!

tomb traider's picture

This info would gain significance when presented relative to other points in history. Can somebody fill me in?

stickyfingers's picture

We're back to the future, the 'Nifty Fifty'.

Abiggs's picture

This is a very useful tool to understanding hft. Most models are based on this list of stocks and trade the market accordingly. Contrary to popular belief on this site that hft's chase bids and momentum, hft's actually trade baskets correlated to every stock on this list. When a name in the basket falls out of sync, the computers compete for who can get there first before the rest trade it back to equilibrium. 

firstdivision's picture

Summarized as arb, and that is not what I would wager my money on that goes on in the IB's server farms.  Call me a tin foil hat wearing conspiracy theorist, but looking at the way they ping the dark pools, and place bid chasing (flash dashes), you are only describing only one strategy.  That is like saying hedge funds only operate for arb opportunities (and that worked out well for LTCM). 

Abiggs's picture

What you fail to comprehend is that hft's speed strictly limits the capital that can be allocated to trades. Therefore, the majority of hft's strategies do in fact revolve around some form of arb or another (Even mm strategies use arb to balance their books). The acts that you refer to (although I don't understand exactly what you are trying to categorize as manipulation) are done to gain a time advantage. 2 things set the hft's apart: math and technology. While their trading is seemingly different, the core strategy is as you say, arb.

"place bid chasing (flash dashes)" - I don't understand what this is, can you please explain how it works?

Also, LTCM has no place in this conversation since it was a hedge fund that HELD 1 trillion in mostly OTC positions...

jippie's picture

how about this blatant piece of market manipulation



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