Market makers executed 68.1 billion shares and delivered $395 million of price improvement in June, as retail investors bucked a wider decline in US lit trading volumes, according to Rule 605 disclosures analysed by Global Trading. Execution quality as measured by median effective to quoted spread ratios (E/Q) improved at 5 of the 6 largest retail market makers.
Global Trading analysis of SEC Rule 605 disclosures for June 2025 shows a divergence between the broader lit market and retail market makers. Our “All trades” universe, made up of all trades in the Lit continuous market in the SIP but missing all OTC and special trades, recorded 121.6 billion shares traded in June, down from 126.7 billion in May. Meanwhile, the six largest retail market makers executed 68.1 bn shares and delivered US$395.3m of price improvement up from US$357.7 million the previous month.
Read more: Price improvements fell to US$253 million as retail volume increased in May – Global Trading
Rule 605 reports of Citadel Securities, Virtu, Susquehanna (G1), Hudson River Trading (HRT), Jane Street, and Two Sigma Securities. show total price improvement was led by Citadel with US$140.9 million followed by Virtu with US$89.6 million, Susquehanna US$62.9 million, HRT US$48.1 million, Jane Street US$43.0 million, and Two Sigma US$10.7 million.
Looking at executed shares covered by 605 disclosures, Citadel handled 26.1 bn shares in June, Virtu 15.4 billion shares, Susquehanna 8.6 billion shares, HRT 7.7 billion shares, Jane Street 7.9 billion shares, and Two Sigma 2.27 billion shares. Notably, HRT’s price-improvement total rose sufficiently to overtake Jane Street in June.
Median E/Q Spread Ratio Over Time
With lower E/Q indicates tighter effective spreads relative to the quoted spread and a value of one signifying the NBBO, Citadel’s median shares-weighted E/Q improved to 0.385 (down from 0.445). Similarly Virtu improved to 0.455 (from 0.485), Susquehanna to 0.365 (from 0.385), HRT to 0.355 (from 0.395), and Two Sigma to 0.535 (from 0.575). Jane Street was the exception, with a slightly worse median E/Q at 0.515 (up from 0.505).
We also modelled E/Q against the various features in the 605 disclosures. While better E/Q is highly correlated with total orders and shares executed, the data suggests that Jane Street’s and Two Sigma’s worse median E/Q performance is correlated to their execution mix. In particular, both firms show a higher proportion of liquidity provision for inside the quote limit order, as well as near the quote and at the quote limit orders.
