NYSE Arca's Closing Auction on Monday Crossed 31 Million SPDR Shares

By: Ray Pellecchia

File Under: ETFs / Indexes, NYSE Arca

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My colleague Tom Haines, managing director in our Exchange Traded Products and Indexes Group, submits the following:

The NYSE Arca Auction Closing Auction crossed 31 million SPDR S&P 500 ETF shares on Monday, 12 Jan. The 31 million shares represented $2,695,450,000 in notional value, which is 11% of the total consolidated volume of the SPY on the 12th. Even though the NYSE Arca Auctions trade millions of ETF shares every day, this recent feat is worth notice. As the leader in ETF liquidity and listings, NYSE Arca is also a source of block liquidity using NYSE Arca Auctions.

NYSE Arca conducts three single-price auctions for NYSE Arca primary listings and ETFs: Limit Opening Auction, Market Order Auction and Closing Auction. The Limit Opening Auction occurs at 4 a.m ET, the Market Order Auction commences the Core Trading Session at 9:30 a.m. ET; and the Closing Auction concludes the Core Trading Session at 4 p.m. ET.

The auction allows participants to participate in real-time price discovery and match orders at the price that maximizes the amount of tradable stock. As part of the Auction process, NYSE Arca calculates and continually disseminates the indicative match price, indicative match volume and auction imbalances. These values are disseminated to the Arca Book.

Determining Closing Auction Price

Until the time the Closing Session is run, orders entered in core session will continue to trade in the core session. Market On Close (MOC) and Limit On Close (LOC) orders that add to the imbalance may be sent up to 3:59:00 pm ET. Any imbalance may be reduced by new orders entered on the side of the market opposite the imbalance. At 4 p.m., all orders for Closing Auction in addition to all orders in NYSE Arca Book will be in Closing Auction.

The NYSE Arca Closing Auction accepts all live orders in the Core Trading Session as well as Market on Close, Limit on Close and Auction Only orders. All trades are reported to Consolidated Tape.

We welcome your questions in the Comments box below, or contact your Relationship Manager. Thanks for helping us get the NYSE Arca auctions off to a very successful start!