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In September 2015, industry volume decreased 7% month-over-month, from 7.9 billion to 7.3 billion shares, reports TABB research analyst Valerie Bogard who manages TABB Group’s Equity LiquidityMatrix™.
Year-over-year industry volume increased 21% in August, says Bogard, adding that TABB-reported ATS/SDP volume decreased 7% month-over-month.
During the same period, the VIX average close increased from 19.4 to 24.4, the highest since December 2011, and off-exchange volume decreased from 34.2% to 33.3%, the lowest percentage since November 2012.
Every month, TABB’s Equities LiquidityMatrix™ provides consolidated 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.
According to Bogard, there are four US equities industry events worth noting:
- On 10/5/2015, the SEC approved the proposed rule to expand FINRA’s ATS transparency initiative to the remaining equity volume.
- On 10/12/2015, the Tick Pilot Operating Committee published technical specifications and data collection FAQs for the Tick Size Pilot Program. Data collection is set to start 11/6/2015.
- The Equity Market Structure Advisory Committee’s second meeting is scheduled for 10/27/2015. 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.
- In October 2015, the SEC list of ATSs included two new additions, AX Trading and Ustocktrade.
The LiquidityMatrix is available at http://tabbforum.com/liquidity-matrix/equities.
