TABB Equity Data: Industry Volume Increases 5% Month-Over-Month, Up Year-Over-Year

According to the December 2015 TABB Equities LiquidityMatrix™ (ELM) – available on TabbFORUM.com – industry average daily volume (ADV) in December 2015 was 7.2 billion shares.  Month-over-month volume increased 5%, says TABB Group equities research analyst Valerie Bogard, who manages the ELM, and the Federal Reserve rising interest rates created the second highest trading day of the year.

• Industry Volume Increases 5% Month-Over-Month, Up Year-Over-Year
  • Industry average daily volume in December 2015 was 7.2 billion shares. Month-over-month volume increased 5% and by 4% year-over-year. The second highest trading day of the year occurred on December 18^th, with 12.8 billion shares, due to the Federal Reserve raising interest rates.
  • TABB-reported ATS/SDP volume increased 1% month-over-month. TABB-reported ATS/SDP volume accounted for 33% of total off-exchange volume in December 2015 (see Slide 2 for non-TABB reporting ATSs).
  • Month-over-month the VIX average close increased from 16.2 to 18.0. During the same period, off-exchange volume increased slightly from 36.1% to 36.2%.

• Industry Updates: ATS Data Updates, Exchange News, and EMSAC
  • ATS Data Reporting: Starting on 2/1/2016, FINRA will calculate and publish ATS volume data based on the trade reports that are submitted to the TRFs. ATSs will no longer be required to submit these weekly files to FINRA.
  • ATS Block Data: At its Dec-2015 meeting, the FINRA Board of Governors authorized FINRA to file an amendment to Rule 6110 with the SEC to publish ATS level block-size trade information on FINRA’s website. The information would be published with a one month delay.
  • NSX Launch: On 12/22/2015, NSX resumed trading in a phased roll-out schedule. Beginning 2/19/2016, market participants must treat NSX quotes as protected under Rule 611.
  • IEX Exchange Application: On 12/18/2015, IEX granted the SEC an extension to act on its exchange application to 3/21/2016. As of 1/14/2016, there were 306 comment letters submitted to the SEC.
  • Equity Market Structure Advisory Committee: The third EMSAC meeting is scheduled for 2/2/2016. The meeting will focus on the events of August 24^th as well as certain issues affecting customers in the current equity market structure

• NEW TABB Equities LiquidityMatrix™ Metrics:
  • Aqua added ADV, average trade size, and Block % (Shares and Notional)
  • Instinet CBX added Midpoint %

Every month, TABB Group’s Equities LiquidityMatrix™ provides the industry with metrics from more than 20 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. In December 2015, industry volume increased 5% month-over-month and 4% year-over-year to 7.2 billion shares. Month-over-month TABB-reported ATS/SDP volume increased 1%.