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

Tyler Durden's picture

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 among fewer and fewer stocks, it is certain that one day, when a top 10 name crashes, will crash the the entire market, which continues 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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Djirk's picture

Wow lots of index funds in there....good way to paint the tape for the desired headlines and control the techies...follow the money (with stops)

Caviar Emptor's picture


Revolution Investing: Apple Going to $1,000
Sept. 13, 2010
With $40 billion in cash on its balance sheet, Apple can grow earnings 30% to 40% and reach a $1,000 stock price by 2015, according to MarketWatch newsletter writer Cody Willard
It's free money! Parte on!


HarryWanger's picture

If they keep up like they've been performing, certainly 500 is not out of the picture in the next 3-4 years. It'll probably split along the way so it won't "seem" so odd.

nonclaim's picture

Revolution Investing: Apple Going to $1,000

The way this is going, that'll be apple the fruit...

Id fight Gandhi's picture

Just like google at 1000. Really, apple at 1000 is pretty much a trillion dollar market cap. Which would be the highest ever recorded.

This ain't 1999 dot com mania. WTF are they thinking?

dukeness's picture

You say that like a trillion will mean something in the future.

Young's picture

Their research is a load of horse dung! Everyone knows what happens with crowded trades (yes, everyone is long AAPL). Contrarian bitchez!

Strongbad's picture

Apple is too popular.  I'd stay out, but that doesn't mean people won't continue to pile in and drive the price up a little more.

Internet Tough Guy's picture

Less volume, fewer stocks, easier to manipulate. Push one button, done.

RobotTrader's picture

Just wait and see what happens if another "Dash for Trash" run begins.

The crummiest single digit stocks with the absolute worst prospects will have the highest volume as the beta chase commences.

Expect giant volume in names like:





Dr. Richard Head's picture

Recovery time and the living's easy. 

Instant Karma's picture

She's a little old for you Robo--could be 25. May need bigger implants. Nice face/smile.

chet's picture

I wish brunettes would just let themselves be brunettes.

nonclaim's picture

and let the natural wavy hair be just that too.

Young's picture

Just confirms my thesis, women have no taste in women (only in porn). That goes for you too Leo - are you a woman by the way? Post some picks of Alessandra instead!

unununium's picture

I held out as long as I could.  But I just can't fight this tape anymore.

I have ruined my retirement and am now looking at a potential divorce.

My last shot is to go long, waaay long, and make it all back.  It will probably be years, or never, before this market trades on anything resembling fundamentals again.

HarryWanger's picture

Sorry to hear that. You have to trade what this market gives in either direction. It's been easy to be negative for the past couple of years on data but when the Fed stepped up and started pumping in March '09 it was easy money from there. I can't understand why so many fought that. 

banksterhater's picture

S&P is back to March and May level- it's nothing but CHURN, unless you know how to trade you will be churned and spit out.

optimator's picture

If that's what your going to do, do it with FAS, but keep your trigger finger handy with a close exit and lots of disipline.

Thunder Dome's picture

Whatever you do, don't listen to all the douche tards on this site when they tell you to buy gold.


Disclosure:  Long NBG


Price of gold on Sep. 10th, 2001, the day before the horrible terrible Osama bin Subcontractor attacked us because he hates our Freedom Fries: $271.50. Current price of gold: $1,249 - up 360%.

Price of S&P 500 on Sep. 10th, 2001: 1,093. Current S&P 500: 1,110 - Up 2%

This does not take into account the dividends that one would have gotten from owning the stocks but I doubt that it would make much difference. (“Current” price as of 4:30 PM September 10, 2010)

Gold up 360% stocks up 1%

Comrade peasants, we have been at war with the horrible terrible Islamo-fascists for nine years. Show me one war in all history without an increase in commodity prices or without an increase in the desire for gold, just one.

prophet's picture

Take a peek at the world markets over the same timeframe.  You'll find some that did as well as gold.  You will also find hundreds of individual names as well.  Just saying that there is a wide net to cast and you may not want to myopically look at an index of stocks that only represents less than a third of the world cap weighted stock universe. 

People may buy gold to make money or because they distrust money.  Either way if you buy your gold with money then you may want to look at a broader investment universe so you can make more money and buy more gold with it.   


RockyRacoon's picture

Hunting and pecking for stocks is work!  All I have to do to gain from holding gold is to rely on my government to continue to do stupid stuff.  That's a lock.  Why do things the hard way?

prophet's picture

Because, perhaps, as alluded to above, you may wish to buy more gold.

I think you "gain" nothing by holding gold.  You only gain when you move to turn it into something else - money or services or goods.

ColoradoNugget's picture

As I posted on the older thread....

CNBC is in on the plot.  Theire meme all day has been "the charts are pointing to a breakout" in stocks.  Hmm.  Why all of a sudden is CNBC pumping the market, at a time when we are pushing the upper end of the trading range?  Ya think MSFT may also be playing this game, or was the story of their borrowing money to pay for dividends and buy back stock, timed in the final hour of trading, just a coincidence?

Me thinks some very large powers-that-be are going to make a concerted effort to gun the S&P to the CY highs by Election Day.  All aided by the media, CNBC in particular.  Could work.....or could fail spectacularly.

HarryWanger's picture

Wouldn't you think if there was a conspiracy it would work the other way? Like, stocks would tank going into elections to make sure Repubs win. It would be another nail in the Dem election if stocks tanked before the election.

espirit's picture

At this rate though, whoever wins has an empty bank account.

SpeakerFTD's picture

On the MSFT story...

Can a corporation do that?   Borrow a bunch of money in the bond market (thereby dividing the claims of bondholders) and give that money to equity holders?   Doesn't that totally screw the senior level of the capital structure to pay off the most junior level?    If I was a bondholder, I would be frothing at the mouth.

unununium's picture

Can a corporation do that?

ref. AutoZone.  Borrow and buy back ad nauseum.  Negative book value since May of '09, stock up 42% since then.


Artful Dodger's picture

Wow. Thanks for pointing that out. Is that how your retirement was 'affected'? That's a clear short, just a matter of when, as usual.

Internet Tough Guy's picture

Fed loves to step on the gas and hear the engine roar. Then one day they stomped on the gas and the damn engine blew up. The end.

RockyRacoon's picture

Too bad they can't get it in gear.

RobotTrader's picture

So far, looks like a trading range for now.  Buy oversold conditions, sell overbought conditions until the trend breaks one way or another.

RobotTrader's picture

What is different this time?

Stocks like AMZN are near world record highs, despite a huge earnings miss.

And cyclical stocks are making new highs, no sign of recession here.

Internet Tough Guy's picture

Stocks got nothin to do with nothin. 'And the band played on'.

I've been out of stocks for a long time. Looking at the stupidity I just laugh and remember why I won't go back.

Thunder Dome's picture


StychoKiller's picture

Are you shouting to convince others, or yourself?

Strongbad's picture


carbonmutant's picture

Sounds like a virtual index,

Hopefully they're all correlated...

goldmiddelfinger's picture

Looks like the old hedge fund fifty. Where are they now?

One could also show great charts of AMCC PMCS SCMR JNPR AVNX etc, cc 2000.

cougar_w's picture

As many as 112 stocks? I figured the number at 20-50. Without looking at the whole list I'll guess that the number of discrete stocks probably is about that, and the rest are indices. Am I close?

Implicit simplicit's picture

People way too bullish. time for another flash crash.

Artful Dodger's picture

It's true. After the close of the session before this rally started, I had a hunch that things were going up. Now I'm pretty risk averse and don't act on this stuff, but I left more on the table than usual.

The SPY daily chart is now ridiculous, full of gaps and low volume, and right on resistance. I had no reason to be bullish other than "in the next week+ nobody's gonna be scared of anything" (little economic data). Therefore let the bots run up the market. I expect this type of voodoo thinking is what marks a top... Now I'm out.

prophet's picture

Some good pointers, thanks TD.  Sometimes I think TD = Too Discouraging but this post had some useful approaches to consider.  As for cap weighted indices, liquidity, the still insanely high amount of daily turnover even with volume way down, and unnerving daily percentage ranges on individual names I think that correlation convergence or not there are standouts.  See the list in the link below for some examples.

""Best Performing Russell 3,000 Stocks Year to Date

The Russell 3,000 makes up about 98% of the US equity market, and below we highlight the stocks in the index that are up the most so far in 2010. These names are all up 100% or more year to date.""


Money Squid's picture

If I recall correctly from the book "Lords of Finance" the run up to the great market crash of 1929 was preceeded by this type of behavior where the market was pushed up and up by fewer and fewer stocks to the point where only a very small percentage controlled the daily movement. Then, from the mid-west big sell orders came in and the market plunged. I am curious if one big seller of one of the few stocks contributing to a significant portion of the daily trading volume could start a rapid sell off, or if a cascade from a HFT program selling at 0.00001 cent could start a crash.

morph's picture

So wait? Stocks with bigger market caps and therefore a much larger amount of share value floating on the market trade more? I don't believe you.


Why didn't AMD trade $3.4B per day?!


If you divide the  Avg. Principal per day by market cap then the numbers are more interesting. i.e. Avg % of shares traded per day.


Otherwise this table is again meaningless. Of course big companies are going to trade more dollar volume that smaller ones.

jbc77's picture

Really intersting stuff here. It's amazing to witness how HFT has turned the market into nothing more than an electronic gambling parlor in such a short time.

My guess is that we have an earnings release from a top ten name that misses so badly it begins a stampede that ultimately preceeds a crash. It's unfathomable that such a short list of equities accounts for so much volume.

I don't see how this stuff doesn't scare the hell out of the fed. We realize that they are a bunch of idiots but you just know helicopter ben is secretly paniced beyond belief, especially when he tries to sleep at night. We're once again engaed in a zero sum game where the landmines and pitfalls are many and the number of exits the fed now has can be counted on one finger.

honestann's picture

Yup.  And we even know which finger.