Market Volume Summary Help

Explanation of Notional Value Methodology

"Notional Value", which is also referred to as "Dollar Value Traded", is calculated by multiplying the execution price of each transaction by the total number of shares executed in each transaction. This method of calculating market share, as opposed to simply using the total number of shares that traded hands, can be a better representation of the actual "size" of a market. The larger the Notional Value traded, the more risk that actually changed hands. By way of example, 100 shares of stock ABC at $362 per share is a much larger transaction than 100 shares of stock XYZ at $2.20 a share. Other assets classes, such as futures and options, and most other equity markets outside of the U.S., historically have used Notional Value as an index into how much activity takes place on those markets. Cboe is the first to offer a real-time view, market-wide, into Notional Value traded in the U.S. cash equity markets.

Explanation of Market Volume Methodology

Bats monitors the consolidated trade feeds (UTDF for Nasdaq-listed securities and CTS for NYSE/AMEX/Regional exchange-listed securities) and summarizes the volume per market center.

Market volume summary view for a current day.

The Matched Volume rows show the volume reported as having come directly from a market center. The TRF Volume rows show volume submitted by brokers to NASD regulated Trade Reporting Facilities.

The Tape A/NYSE column shows the volume for NYSE-listed securities, the Tape B/Regional shows the volume for AMEX and Regional exchange-listed securities and the Tape C/Nasdaq column shows the volume for Nasdaq-listed securities. The Total column shows the total of the Tape A, Tape B and Tape C columns.

The left half of the display (labeled Today) shows data for the current day delayed by 20 minutes. The right half of the display shows the average value for the previous 5 trading days.

The volume numbers are the sum of trades reported to UTDF/CTS as handled thru the day, broken down by participant and sub participant (UTDF) / TRF (CTS) indicator. Both feeds apply current day correction and cancel messages. UTDF processing is handled as described in the UTDF specification file chapter 7.0. CTS processing is handled as described in the CTS specification file appendix H with sale condition exceptions indicated by total volume description section 11.76. CTS Crossing session volume is not included.

Bats believes the data is reliable, but does not guarantee its accuracy or completeness.