Term · Liquidity & Trading
Median Daily Value
In briefThe median daily value is the median daily traded value of a stock and is therefore insensitive to outlier days. For illiquid small caps it depicts the typical tradable daily liquidity more robustly than the ADTV average, which is distorted by individual block trades.
Definition
The median daily value is the median daily traded value of a stock over a period, calculated as the median rather than the average. Since the median is insensitive to individual outlier days, it depicts typical trading liquidity more robustly than the mean. It is usually stated in monetary units per day.
How it is calculated
Formula. median of daily (trading volume × price) over the observation period
Why it matters for small caps
For nano and micro caps, individual block trades strongly distort the ADTV average, which is why the median better depicts the realistically tradable daily liquidity.
Common misreadings
- The median daily value is equated with the ADTV, even though the average can be biased upward by outlier days.
In the process
Frequently asked
Why the median instead of the average?
The median is robust to individual outlier days and depicts typical liquidity more realistically than the mean.
What is the difference from the ADTV?
The ADTV is the average and can be overstated by a few large trading days; the median smooths out this distortion.
What is the metric used for?
To estimate what position size can be traded without excessive market impact.
Related terms
Education only, not investment advice. Ranges and thresholds are didactic orientation values, not an official standard.