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According to the July 2016 TABB Equities LiquidityMatrix™ (ELM) – available on TabbFORUM.com – Off-exchange market share in July 2016 increased 2% month-over-month to 38.3%, the highest off-exchange market share since April 2010. TABB Group equities research analyst Valerie Bogard, who authors the ELM, says that during the same period, the VIX average close decreased 17.8 to 13.2, the lowest in 2 years.
Key Points from the July ELM include:
- Off-Exchange Percentage Hits 6-Year High
- Off-exchange market share in July 2016 increased 2% month-over-month to 38.3%, the highest off-exchange market share since April 2010. During the same period, the VIX average close decreased 17.8 to 13.2, the lowest in 2 years.
- Industry average daily volume decreased 13% month-over-month in July 2016 to 6.6 billion shares, but was down only 2% year-over-year.
- TABB-reported ATS/SDP volume decreased 8% MoM. TABB-reported ATS/SDP volume accounted for 33% of total off-exchange volume in July 2016 (see Slide 2 for non-TABB reporting ATSs).
- Industry Milestones:
- Additional OATS Order Routing: FINRA announced 11/7/2016 as the implementation date for ATSs to report additional order information to OATS, including order re-pricing events, order display, and reserve size information.
- IEX Exchange to Launch: IEX plans to begin their security-by-security phase-in launch period on 8/19/2016 and conclude it on 9/2/2016. Market participants have no later than 9/15/2016 to put in place policies and procedures to treat IEX’s best bid and offer as a protected quotation.
- Equity Market Structure Advisory Committee Meeting: On 8/2/2016, the EMSAC meeting heard recommendations from the Customer Issues and Market Quality subcommittees:
- Market Quality Subcommittee: Recommendations focused on (1) Changing the LULD reopening auction process (2) Adjusting market-wide circuit breakers and (3) Harmonizing the market opening procedures
- Customer Issues Subcommittee: Recommendations focused on (1) Investor confidence surveys and (2) Updating 605 and 606 disclosures.
Every month, 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.
