The dog days of summer weren’t kind to the equities market as U.S. trading volume dipped 7% in September.
This drop follows an August volume surge – where volume hit a 4-year high in August , according to the September 2015 TABB Equities LiquidityMatrix.
In September trading volume hit 7.3 billion shares after reaching 7.9 billion shares in August, reported TABB research analyst Valerie Bogard who manages TABB Group’s Equity LiquidityMatrix.
Year-over-year industry volume increased 21% in August, said 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.
During the reporting month, notable events included:
. 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.
