Mondo Visione Worldwide Financial Markets Intelligence

FTSE Mondo Visione Exchanges Index: 99,914.89 -166.84

November 2017 Equities Liquidity Matrix From TABB Group

Date 19/12/2017

In November 2017, industry average daily volume increased 8 percent month-over-month, to 6.6 billion shares, the highest ADV in five months, as the VIX average close increased month-over-month, from 10.1 to 10.5. Meanwhile, off-exchange market share fell to 37.6% in November 2017, from a seven-year high of 38.8% in October. Every month, TABB Group’s Equities LiquidityMatrix™ provides the industry with metrics from 25 ATS/SDPs, including stock capitalization distribution, block and demi-block % (shares & notional), midpoint %, and inside NBBO %, as well as a breakdown of exchange market share.

To learn more, download “Equities LiquidityMatrix November 2017,” by Valerie Bogard.

Below are Key Points:

  • Industry Volume Bounces Back to Highest in 5 Months
    • Volume: In Nov-2017, industry average daily volume increased 8% month-over-month to 6.6 billion shares, the highest in 5 months.
    • Volatility: The VIX average close increased month-over-month from 10.1 to 10.5 in Nov-2017.
    • Off-Exchange: Off-exchange market share decreased month-over-month to 37.6% in Nov-2017 from a 7-year high of 38.8%.
    • Trade Size: Industry trade size decreased month-over-month from 208 to 205 in Nov-2017.
    • ATSs: TABB-reported ATS/SDP volume increased 7% month-over-month. TABB-reported ATS/SDP volume accounted for 24% of total off-exchange volume in Nov-2017 (see Slide 2 for non-TABB reporting ATSs).
  • Industry Milestones:
    • Regulatory Updates:
      • MiFID II Equivalency for US Dark Pools: The European Commission has released a list of US venues that will be deemed equivalent under MiFID II rules, including a list of 33 dark pools.
      • Market Data Fees: On 12/6/2017, a group of 24 firms, including buy side, sell side, and technology vendors, requested that the SEC initiate rulemaking proceedings requiring greater exchange disclosure on market data fees.
      • SEC Commissioners Nominees: The two SEC Commissioner nominees, Hester Peirce and Rob Jackson are awaiting full Senate confirmation, after being confirmed by the Senate Banking Committee in November 2017. Senator Tammy Baldwin has delayed approval and requested additional comments from the nominees.
    • Execution Venue Updates:
      • IEX and Long-Term Stock Exchange: On 12/7/2017, the Long-Term Stock Exchange (LTSE) has partnered with IEX to host LTSE listings while LTSE continues to pursue SEC approval for launching its own exchange. LTSE listings will have additional disclosure and governance listing standards with the purpose of incentivizing long-term value. LTSE listings will transfer from IEX to LTSE once the exchange receives regulatory approval.