Stats › Bear markets and drawdowns › January 2021
The regulator concluded it was not a short squeeze, and not a gamma squeeze either
| Measure | Normal | January 2021 |
|---|---|---|
| Average daily volume | about 6.7 m shares in 2020 | about 100 m a day, 13 to 29 January |
| Peak single day volume | 38 m on 31 August 2020 | 197.2 m on 22 January |
| Unique accounts trading it | under 10,000 | nearly 900,000 by 27 January |
| Relative effective spread | 0.18% in 2020 | 0.54% on 28 January |
| Nominal quoted spread | daily 2020 average | nearly 50 times larger |
| Median size at the best bid | 4,720 shares | 19 shares on 29 January |
| Trading pauses | 1 in all of 2020 | 40, of which 19 on 28 January |
| Off exchange share of dollar volume | about half in 2020 | 62.60% on 21 January, 32.83% on 28 January |
From the regulator's staff report of 14 October 2021. The median size at the best bid is the most striking line: the depth available at the top of the book fell from 4,720 shares to 19. The report contains no significance test of any kind and is descriptive throughout.
Short interest in the most traded stock reached 122.97 per cent of its free float in January 2021. The regulator's own staff report states that a short squeeze did not appear to be the main driver and that it found no evidence of a gamma squeeze.
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