The latest quarterly edition of the “TABB Equity Digest” research is now available, providing an exclusive data-rich view into US equity market trends. The timing of the report, written by Sayena Mostowfi, principal, head of equities research, and equities research analyst Valerie Bogard, is in arrear to capture the 605, 606 and various SEC publications for the quarter.
As outlined in the report, average daily volume for 2015 was 6.9 billion shares, the highest ADV for the year since 2011. In Jan-16, industry volume continued to rise, with 9.3 billion shares traded a day, a significant increase compared to Jan-15 (7.3b) and Jan-14 (6.9b). Further top-line points discussed in the research are outlined below:
- Industry Trade Size Hits New Record Low – In Jan-2016, industry trade size hit a 10-year low with an average of 202 shares, surpassing the previous all-time low, in Oct-2015, of 203 shares.
- Retail Wholesalers Gain 2.1% of Dark Volume YoY – In Q4-2015, the industry volume consisted of 57.1% Lit Volume (+0.4% YoY) and 42.9% Dark Volume. The Dark Volume breakdown in Q4-2015 was 40.6% Retail Wholesaler, 32.0% Dark ATSs, 20.4% Hidden Exchange and 7.0% SDP/Other. YoY Dark Volume was down by 0.4% (43.3% in Q4-2014), although Retail Wholesaler’s % of Dark Volume increased 2.1% YoY.
- Dark ATS and Retail Wholesaler Concentration Increases – In Q4-2015 the top 15 out of 37 Dark ATSs made up 90% of total Dark ATS volume, up 3.1% YoY. During the same time period, the top 3 out of 8 Retail Wholesalers accounted for 71.5% of total Retail Wholesaler volume, up 7.8% YoY.
- New ATS Volume Leader – UBS became the new ATS volume leader for Q4-2015, executing 153 million shares per day. UBS has doubled its industry market share since Q1-2013, from 1.1% to 2.2% in Q4-2015.
- Lit ATS Market Share Increased 36% from Q2-2015, Driven by IEX – Lit ATS market share has increased to 1.7% in Q4-2015 compared to 1.2% in Q2-2015, as a result of increased volume to IEX. IEX has increased its industry market share by 40% since Q2-2015, when it became a “Lit ATS,” from 1.1% to 1.6%.
Within the full report, TABB Group combines data from the SEC market structure website, SEC Rule 605 (order execution) and Rule 606 (order routing) disclosures, FINRA, self-reported dark pool and exchange order type information, and the SIP to bring you a comprehensive breakdown of US equity volume.
This latest report is now available for download at https://research.tabbgroup.com/area/equities by pre-qualified media.
