THE OVERNIGHT TAPE

This is where the product actually lives.

On the night of the third to the fourth of November, $15.79 billion crossed on the three overnight venues. The largest three-venue session on record, and 3.2 times the trailing twenty-session average.

The day around it was unremarkable. Consolidated US share volume ranked sixteenth of the last 127 sessions. The night beside it moved more than twice as hard. That relationship holds generally: a one percent change in consolidated notional maps to roughly 1.67 percent overnight. The night session does not track the day. It magnifies it.

The report takes the session apart hour by hour, by venue, by price band, by sector and by ETF structure. Every quoted spread carries the size behind it, because a spread without its depth is half a number. The venue showing the tighter quote may simply be showing less of it.