The VIX average close fell to an all-time low in October 2017, decreasing month-over-month from 10.4 to 10.1, while off-exchange market share increased to 38.8%, the highest off-exchange market share in seven years. Industry average daily volume decreased 2% month-over-month, to 6.1 billion shares, in October, but TABB-reported ATS/SDP volume increased 2%. 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.
- Volatility Hits Another All-Time Low While Off-Exchange Hits a 7-Year High
- Volatility: In Oct-2017, the VIX average close decreased month-over-month from 10.4 to 10.1, an all-time low. This is the third time that the VIX has hit a monthly all-time low in 2017.
- Off-Exchange: Off-exchange market share increased month-over-month to 38.8% in Oct-2017, the highest off-exchange market share since Apr-2010.
- Volume: Industry average daily volume decreased 2% month-over-month to 6.1 billion shares in Oct-2017.
- Trade Size: Industry trade size decreased month-over-month from 211 to 208 in Oct-2017.
- ATSs: TABB-reported ATS/SDP volume increased 2% month-over-month, driven particularly by block ATSs. TABB-reported ATS/SDP volume accounted for 29% of total off-exchange volume in Oct-2017 (see Slide 2 for non-TABB reporting ATSs).
- Industry Milestones:
- Regulatory Updates:
- SEC Director of Trading and Markets: On 10/18/2017, the SEC named Brett Redfearn as the new Director of the Division of Trading and Markets. Redfearn previously had the role of Global Head of Market Structure at JP Morgan.
- SEC Commissioners Nominees: On 11/1/2017, the Senate Banking Committee confirmed two SEC Commissioner nominees, Hester Peirce and Rob Jackson. The nominees will next be considered by the full Senate.
- CAT Reporting: SROs began reporting to the Consolidated Audit Trail (CAT) on 11/15/2017. SEC Chairman Clayton denied the request for a delay of the CAT implementation on 11/14/2017.
- Execution Venue Updates:
- Long-Term Stock Exchange: The Long-Term Stock Exchange is planning to file their Form 1 with the SEC by the end of the year to register as a national securities exchange. The exchange is aiming to remove the short-term pressures on public companies through listing standards, software tools and advocacy.
- Regulatory Updates:
- NEW TABB Equities LiquidityMatrix™ Metrics:
- Virtu added average daily volume, average trade size, and block metrics for its single dealer platform (SDP) associated with Virtu Financial BD, VEQ. Virtu has renamed its other SDP that is associated with Virtu Americas LLC, VEQ-Link, previously known as Acknowledge EQ.
