August U.S. Equity Avg Daily Volume at 7.9B, Highest in 4 Years

As famous sportscaster Marv Albert would say, “YES!”

Thanks in part to a spike in volatility and overseas-induced market turmoil, U.S. equities industry average daily volume in August 2015 was 7.9 billion, the highest in four years, according to TABB Group research analyst Valerie Bogard, who compiles and analyzes the monthly 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, said Bogard, included:

– On 9/15/2015, IEX filed for exchange status with the SEC. Comments are due 45 days after publication in the Federal Register.

See Also:IEX’S Katsuyama Pegs Exchange Launch Date in Q1 2016

– 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.

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).