Equity trading in the private venues has risen to another 6 year high in August, according to data compiled by TABB Forum.
In its latest TABB Equities LiquidityMatrix (ELM) –available on TabbFORUM.com – the growth in trading away from the exchanges has occurred while volatility has hit a 2-year low. TABB Group equities research analyst Valerie Bogard, who authors the ELM, said off-exchange market share in August 2016 increased 0.1% month-over-month to 38.4%, the second consecutive month that off-exchange volume was at a 6-year high.
Key points from the report include:
–Industry average daily volume decreased 7% month-over-month in August 2016 to 6.1 billion shares, the lowest volume since September 2014.
–Off-exchange market share in August 2016 increased 0.1% month-over-month to 38.4%, the second consecutive month that off-exchange volume was at a 6-year high. During the same period, the VIX average close decreased from 13.2 to 12.4, a 2-year low.
–TABB-reported ATS/SDP volume decreased 5% MoM. TABB-reported ATS/SDP volume accounted for 33% of total off-exchange volume in August 2016 (see Slide 2 for non-TABB reporting ATSs).
–IEX Exchange Launch: IEX began their phase-in launch period on 8/19/2016 and concluded it on 9/2/2016. IEXs best bid and offer had protected quotation status starting on 9/15/2016. IEXs volume on 9/15/2016 was 99.6 million shares or 1.5% of total industry volume.
–Comments Due on Institutional Order Routing Disclosures Proposal: Comments are due on 9/26/2016 for the SEC proposed amendments to Rules 600, 605, and 606 that would require new disclosures by broker-dealers to institutional customers about the routing and execution of their orders and update the current disclosures for retail customers. One comment letter has been submitted.
–Tick Size Pilot: The Tick Size Pilot begins on 10/3/2016.
Symbols Selected: On 9/6/2016, the symbols for the Tick Size Pilot were selected.
Monthly statistics will be made publically available regarding market quality, order routing, market maker activity, and profitability levels.
–Reg SCI Testing: The first Reg SCI Business Continuity and Disaster Recovery Test Date is on 10/15/2016.
–ATS Cessation: Bloomberg Tradebook ATS ceased operations in July 2016.
Every month TABB Groups 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.