The TABB Group September 2017 Equities LiquidityMatrix™ Is Available For Review

The TABB Group September 2017 Equities LiquidityMatrix™ is available for review.

Below are Key Points:

Volume and Volatility Diverge For Second Month in a Row
- Volume: Industry average daily volume increased 6% month-over-month to 6.3 billion shares in Sep-2017, the lowest ADV for September in three years.
- Volatility: Generally volatility and volumes are correlated; however, while volume increased in Sep-2017, the VIX average close decreased to 10.4.
- Off-Exchange: In Sep-2017, off-exchange market share increased month-over-month to 37.2% from 37.1%.
- Trade Size: Industry trade size was 211 in Sep-2017, up from 204 in Aug-2017, which was the lowest since Feb-2016.
- ATSs: TABB-reported ATS/SDP volume increased 5% MoM. TABB-reported ATS/SDP volume accounted for 28% of total off-exchange volume in Sep-2017 (see Slide 2 for non-TABB reporting ATSs).

Industry Milestones:
- Regulatory Updates:
  - SEC Hearings: SEC Chair Jay Clayton testified before the Senate Banking Committee on 9/26/2017 and before the House Financial Services Committee on 10/4/2017. The hearings primarily focused on cybersecurity matters around the Equifax fax, SEC’s EDGAR hack and the CAT but also discussed the fiduciary rule, IPOs and capital formation, and the Chicago Stock Exchange.
  - SEC Commissioners Nominees: On 10/24/2017, two SEC Commissioner nominees, Hester Peirce and Rob Jackson, will testify before the Senate Banking Committee. The SEC has not had all five commissioner seats filled for two years.
  - CAT Roll-Out: On 11/15/2017, the Consolidated Audit Trail is set to start its gradual roll-out with SROs beginning reporting. Congressmen Jeb Hensarling, Bill Huizenga, and Randy Hultgren have asked the SEC to delay the CAT citing cybersecurity risks.
- Execution Venue Updates:
  - New ATS: Citigroup’s new ATS, CIOI, began trading during the week of 9/18/2017.
  - IEX Listings Program: Pending SEC approval, IEX plans to begin their phase-in period as a primary listing exchange on 11/6/2017. IEX announced in September 2017 that they will not charge the first public companies that move to their exchange for five years.