Investment Technology Group, Inc., a leading agency research broker and financial technology firm, today announced that May 2011 US trading volume was 4.2 billion shares and average daily volume (ADV) was 199 million shares. This compares to 3.6 billion shares and ADV of 182 million shares in April 2011 and 4.5 billion shares and ADV of 224 million shares in May 2010. There were 21 trading days in May 2011 and 20 trading days in both April 2011 and May 2010.

Although May 2011 trading volume was strong, the heightened mix from sell-side clients continued. In addition, approximately 10% of May volume was from market-on-close (MOC) orders associated with end-of-month index rebalancing, which negatively impacted average revenue capture per share.