- Off-exchange market share in July 2016 increased 2% month-over-month to 38.3%, the highest off-exchange market share since April 2010. During the same period, the VIX average close decreased 17.8 to 13.2, the lowest in 2 years.
- Industry average daily volume decreased 13% month-over-month in July 2016 to 6.6 billion shares, but was down only 2% year-over-year.
- TABB-reported ATS/SDP volume decreased 8% MoM. TABB-reported ATS/SDP volume accounted for 33% of total off-exchange volume in July 2016 (see Slide 2 for non-TABB reporting ATSs).
- Industry Milestones:
- Additional OATS Order Routing: FINRA announced 11/7/2016 as the implementation date for ATSs to report additional order information to OATS, including order re-pricing events, order display, and reserve size information.
- IEX Exchange to Launch: IEX plans to begin their security-by-security phase-in launch period on 8/19/2016 and conclude it on 9/2/2016. Market participants have no later than 9/15/2016 to put in place policies and procedures to treat IEXs best bid and offer as a protected quotation.
- Equity Market Structure Advisory Committee Meeting: On 8/2/2016, the EMSAC meeting heard recommendations from the Customer Issues and Market Quality subcommittees:
- Market Quality Subcommittee: Recommendations focused on (1) Changing the LULD reopening auction process (2) Adjusting market-wide circuit breakers and (3) Harmonizing the market opening procedures
- Customer Issues Subcommittee: Recommendations focused on (1) Investor confidence surveys and (2) Updating 605 and 606 disclosures.
Every month, 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.
