The NASDAQ Stock Market reported Thursday that new trading records were set for exchange-traded funds during the wild market ride of September.

The exchange said its average daily volume of U.S.-listed ETFs hit the 785 million share mark. That set a new record, says NASDAQ. What's more, the volume of U.S. ETFs traded on NASDAQ also reached a record level for the month—16.5 billion shares traded.

Interestingly enough, the National Stock Exchange monthly data for August and September showed the total percentage of U.S. equities trading represented by ETFs as higher each month, 31% and 35% respectively (see story here).

Michael Traynor, chief strategy officer for the NSX, noted that if early October trading volumes (above 40%) stayed on pace throughout the month, ETFs will likely set yet another record by month-end, in terms of percentage of total U.S. equities market share.

In its monthly data report for September, NYSE Euronext did not break out ETF trading volumes specifically, but did note that NYSE Arca had listed 49 new exchange-traded products, bringing the total number of exchange-traded products listed on all NYSE Euronext platforms to 754.

NYSE handled 7.3 billion shares, an all-time record for U.S. equities, on the wild day of Sept. 18. However, NASDAQ noted in its September trading report that on 12 of 21 trading days in the month, it captured a greater share of NYSE-listed stocks than the NYSE itself captured—24.2% to 22.2 for the month.