Daily liquidity in any stock or ETF is an important issue. When it comes to ETFs, experienced and conservative investors/traders have a minimum requirement of approximately one million shares per day of volume. They need to trade in high volume ETFs in order to buy and sell large positions and get executions close to bid and ask prices. In contrast, when volumes are thin, pricing of bid and ask becomes inefficient.

In US equities SPY (S&P 500) with an average of 200 million shares per day volume represents the highest daily liquidity of any stock on NYSE. The second most liquid stock is QQQQ (NASDAQ 100) with approximately 120 million shares per day. IWM (Russell 2000) is ranked third.

For exposure to international markets, Barclays EEM (Emerging Markets) and EFA (Europe, Japan and Australia) have daily trading volumes of 50 million and 20 million respectively. In the Canadian market Barclays XIU (TSX 60) trades approximately 10 million shares per day. In fact, no other Canadian ETFs or stocks come even close to XIU’s volume.

In the U.S. bond ETF market, these are the volume leaders: TLT (long term U.S. treasuries) at 6 million; JNK (high yield corporate bonds) at 2 million; TIP (short term U.S. treasury) at 1 million and LQD (high grade corporate bonds) at 1 million.