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

July 21, 2010

Catherine Austin Fitts has a blog site entitled Solari.com. Fitts has been a managing director and board member of a Wall Street investment bank and Assistant Secretary of Housing and Federal Housing Commission at HUD, etc.

She’s very articulate and quite knowledgeable.

On her site is published an article that says that 99 stocks account for half of a day’s trading volume. Well, now you know how the cabal can manipulate impressions on the stock exchange.

I recommend a look-in at Catherine’s erudite site.

http://solari.com/blog/

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

Tyler Durden's picture

Submitted by Tyler Durden on 07/06/2010 15:47 -0500

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:

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