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

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