Capture Rate

The net fee or revenue an exchange or broker earns per unit of transaction volume executed on its platform.

Capture rate measures the net transaction fee or revenue a financial exchange, trading venue, or broker-earned platform generates per unit of transaction volume executed. While overall market volumes (such as Average Daily Volume) are a key driver of activity, an exchange's actual top-line performance depends heavily on this rate. It reflects the net pricing power of the venue after accounting for volume-based discounts, product mix, and liquidity rebates paid to market makers. To calculate the capture rate, an investor divides the platform's net transaction revenue by its total transaction volume over a given period. The units of measurement vary by asset class: equity exchanges typically measure capture rate in basis points of total value traded or mils (hundredths of a cent) per share, whereas derivatives and options exchanges express it as net revenue per contract. For investors, monitoring the capture rate is crucial because volume growth alone does not guarantee revenue growth. A declining capture rate indicates pricing pressure, an unfavorable shift in volume mix (such as a higher proportion of low-fee institutional flow versus high-fee retail flow), or aggressive rebate structures. Conversely, a stable or rising capture rate combined with growing volumes signals strong operational leverage and pricing power.

An options exchange processes 20,000,000 contracts in a quarter. It collects gross transaction fees but pays out rebates to market makers, leaving it with $3,200,000 in net transaction revenue. Its capture rate is calculated as $3,200,000 / 20,000,000 = $0.16 per contract.