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

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.

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