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US Equities Industry ADV In August 2015 Was 7.9 Bn, Highest In Four Years, According To TABB Equities LiquidityMatrix For August 2015

Date 18/09/2015

US equities industry average daily volume in August 2015 was 7.9 billion, the highest in four years, says TABB Group research analyst Valerie Bogard, who compiles and analyzes the TABB Equities LiquidityMatrix™. 

Month-over-month volume increased 18% and year-over-year industry volume increased 51%.

On August 24th volume reached 14.2 billion shares, the highest daily volume since August 10th, 2011.

TABB-reported ATS/SDP volume increased 10% month-over-month, which accounted for 35% of total off-exchange volume in August 2015 (see Slide 2 for non-TABB reporting ATSs).

Month-over-month, the VIX average close increased from 14.4 to 19.4, the highest since June 2012. During the same period, off-exchange volume decreased from 36.4% to 34.2%, the lowest percentage since October 2014.

Notable industry events, says Bogard, include:

  • On 9/15/2015, IEX filed for exchange status with the SEC. Comments are due 45 days after publication in the Federal Register.
  • The Equity Market Structure Advisory Committee’s second meeting scheduled for 9/24/2015 has been postponed. The SEC will post a new meeting date once it is confirmed. The topic for the meeting is Reg NMS Rule 610 (fair access to quotes, access fees and locked/crossed markets) and the regulatory structure of trading venues.
  • On 10/7/2015, the SEC will decide whether to approve the proposed rule to expand FINRA’s ATS transparency initiative to the remaining equity volume.
  • The National Stock Exchange (NSX) has delayed its reactivation and will announce a new date shortly.

According to Bogard, there are two new TABB Equities LiquidityMatrix™ metrics: Historical Trends: Slide 5 provides historical volume and market share trends for TABB-reported ATS/SDPs and FINRA-reported ATSs; and Inside NBBO%: ConvergEx Group Vortex added Inside NBBO %.

TABB's Equities LiquidityMatrix™ is a monthly publication consolidating metrics from exchanges, Trade Reporting Facilities (TRFs), Alternative Trading Systems (ATSs) and Single-Dealer Platforms (SDPs).  It includes month-over-month SRO market share and the following self-reported statistics from ATSs and Single Dealer Platforms (SDPs): (1) average daily volume; (2) average trade size; (3) stock capitalization distribution %; (4) block and demi-block % (shares); (5) block and demi-block % (notional); (6) Midpoint % (shares).