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According to the March 2016 TABB Equities LiquidityMatrix™ (ELM) – available on TabbFORUM.com – Month-over-month (MoM) industry volume decreased 13% to 7.7 billion shares, marking an end to the volume spike in the first two months of 2016. TABB Group equities research analyst Valerie Bogard, who manages the ELM, details that during the first quarter, there were 10 days of volumes over 10 billion shares compared to 13 days total in 2012-2015 (in the four years post financial crisis).
Key points from the March ELM include:
- Volatility Declines as Off-Exchange Increases
- The VIX average close decreased 30% month-over-month to 15.8, the lowest since July 2015. During the same period, off-exchange volume increased month-over-month from 35.7% to 36.8%, the highest since August 2014.
- Month-over-month (MoM) industry volume decreased 13% to 7.7 billion shares, marking an end to the volume spike in the first two months of 2016. During the first quarter, there were 10 days of volumes over 10 billion shares compared to 13 days total in 2012-2015 (in the four years post financial crisis).
- TABB-reported ATS/SDP volume decreased 17% MoM. TABB-reported ATS/SDP volume accounted for 33% of total off-exchange volume in March 2016 (see Slide 2 for non-TABB reporting ATSs).
- SEC Regulations in the Spotlight:
- Proposed Interpretation of Reg NMS: On 3/18/2016, the SEC extended the timeline to act on IEX’s exchange application to 6/18/2016. In addition, the SEC requested comments for a proposed interpretation on the definition of “automated quotation” under Rule 611 of Reg NMS. The SEC’s interpretation of the rule will inform its decision in approving or denying IEX’s application. Comments are due 4/14/2016.
- Tick Size Pilot Data Collection: On 4/4/2016 the pre-pilot data collection started for the Tick Pilot. The two-year pilot will begin on 10/3/2016.
- SEC Commissioner Confirmations Postponed: On 4/7/2016, the Senate Banking Committee postponed a vote to confirm two SEC Commissioner nominees, Lisa Fairfax (D) and Hester Peirce (R). Four Democratic senators opposed the nominees due to concerns about company campaign spending disclosures. The Obama administration nominated the Commissioners approximately 6 months ago, on 10/20/2015. Following the Committee’s confirmation, the nominees would still need approval with a full Senate vote.
- Latest ATS Cessation: Jefferies Execution Services ATS ceased operations in April 2016.
- Upcoming Events:
- BATS IPO: BATS is scheduled to price its initial public offering Thursday night for trading on Friday, 4/15/2016. It would be the first corporate listing for the BATS exchange.
- FINRA Publishes Off-Exchange Data: On 4/25/2016 FINRA will begin publishing share and trade data for the remaining off-exchange volume as part of its expansion of the ATS transparency initiative. FINRA will publish the data as of 4/4/2016 by firm (not MPID) for those meeting a minimum threshold.
- Fourth EMSAC Meeting: The fourth Equity Market Structure Advisory Committee meeting will take place on 4/26/2016 and focus on updates and potential recommendations from the four subcommittees. At the 3/3/2016 Senate hearing, SEC Director of Trading and Markets Stephen Luparello said he expected a maker-taker pilot program recommendation to be made at the meeting.
- CHX Snap Auctions: CHX announced plans to introduce Snap Auctions on 5/13/2016, subject to SEC approval.
- NEW TABB Equities LiquidityMatrix™ Metric:
- KCG Acknowledge EQ added Notional Block Volume %.
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.
