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According to the February 2016 TABB's Equities LiquidityMatrix™ (ELM), industry volume slipped month over month (MoM), but the industry saw the highest February ADV Since 2009. MoM industry volume decreased 6%, but was up 29% year-over-year explains TABB Group equities research analyst Valerie Bogard, who manages the ELM. This month’s ELM also introduces a new metric: KCG MatchIt 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 February 2016, industry volume decreased 6% month-over-month but was up 29% year-over-year, continuing the double digit volume growth in 2016. Industry average daily volume in February 2016 was 8.8 billion shares, the highest monthly average daily volume for February since 2009. TABB-reported ATS/SDP volume decreased 2% MoM, but was up 41% YoY.
Bogard outlines the following key points from the February ELM:
- Industry Volume Slips Month Over Month, But Highest February ADV Since 2009.
- Month-over-month (MoM) industry volume decreased 6%, but was up 29% year-over-year. Similarly, the VIX average close decreased 5% month-over-month to 22.5, but was up 42% year-over-year from 15.9. During the same period, off-exchange volume increased month-over-month from 35.2% to 35.7%.
- Industry average daily volume in February 2016 was 8.8 billion shares, the highest monthly average daily volume for February since 2009.
- TABB-reported ATS/SDP volume decreased 2% MoM. TABB-reported ATS/SDP volume accounted for 35% of total off-exchange volume in February 2016 (see Slide 2 for non-TABB reporting ATSs).
- Industry Updates: Exchange Updates, Senate Hearings and Pilots
- Protected NSX Quotes: Starting on 2/19/2016, NSX quotes were protected under Rule 611.
- IEX Exchange Application: On 2/29/2016, IEX amended their application to have all orders go over the 350 millisecond “speed bump,” including their router. The SEC must act on the IEX exchange application by 3/21/2016. As of 3/8/2016, there were 418 comment letters submitted to the SEC.
- FINRA Proposal for Additional ATS Reporting: On 3/1/2016, FINRA filed a rule proposal requiring ATSs to report additional order information to OATS, including order re-pricing events and order display and reserve size information.
- Tick Size Pilot: On 3/7/2016, the Pre-Pilot Data Collection Security List was published on FINRA’s website. Pre-Pilot Data collection starts on 4/4/2016.
- Senate Committee and Subcommittee Hearings:
- Equity Market Structure: On 3/3/2016, the Senate Banking Committee’s Subcommittee on Securities, Insurance and Investment held a hearing on equity market structure. FINRA Chairman and CEO Richard Ketchum and SEC Director of Trading and Markets Stephen Luparello were witnesses.
- Maker-Taker Pilot Program: During the 3/3/2016 hearing, Luparello stated that the Equity Market Structure Advisory Committee (EMSAC) Subcommittee on Customer Issues is expected to present recommendations for a maker-taker pilot program at the next EMSAC meeting, on 4/26/2016.
- SEC Commissioner Nominees: On 3/15/2016, the Senate Banking Committee will hold a hearing on the two SEC Commissioner nominees, Hester Peirce and Lisa Fairfax, who were nominated by the Obama administration approximately 5 months ago, on 10/20/2015. Following the hearing, the nominees would need approval in a Committee vote and a full Senate vote.
- NEW TABB Equities LiquidityMatrix™ Metric:
- KCG MatchIt added Midpoint %
The LiquidityMatrix is available at http://tabbforum.com/liquidity-matrix/equities.
