October U.S. equity volumes continued to rise after a solid September performance.
Industry-wide equity volume increased 29 percent on a month-over-month basis to its highest average daily volume (ADV) rate since October 2011, Tabb Group reported in its most recent Equities LiquidityMatrix report.
The market consultancy also reported that ATS and single dealer platforms (SDPs) volume increased by 25 percent month-over-month. Tabb analyst Valerie Bogard, author of the report, added that ATS volume accounted for 35 percent of total TRF and ADF volume in October 2014.
Also in the report, month-over-month the average daily volume increased to 7.8 billion shares from from 6.1 billion in September, the highest average daily volume since October 2011. The intra-month volume peaked on October 15th with 11.9 billion shares executed in part driven by swings in the yield on the 10-year Treasury note.
October 2014 also saw the highest volatility since June 2012 as the VIX average closed was 18. Volatility and off-exchange dark volume continue to be inversely correlated. That said, month-over-month total TRF market share dropped by 3.0 percent to 32.6 percent from 35.6 percent in September.
Tabb also noted the SEC plans to vote on Regulation SCI on November 19th and that the regulator announced a 45-day comment period for the tick size pilot proposed rules, which are now posted on the Federal Register. Market participants have until December 22nd, 2014 to comment.
Also, IEX, the buyside-owned exchange announced plans to support displayed orders and disseminate a top of book only feed starting January 30th, 2015. Please note that the feed will only include quotes (not trades) and the quotes will not be protected under RegNMS’ Order Protection Rule.
Tabb;s Equities LiquidityMatrix (ELM) is a monthly publication consolidating metrics from exchanges, Trade Reporting Facilities (TRFs), Alternative Trading Systems (ATSs) and Single-Dealer Platforms (SDPs). The ELM includes month-over-month SRO market share and the following self-reported statistics from ATSs and 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).
Tabb reports metrics from 23 ATSs and 3 SDPs.
The following 17 ATSs do not currently report metrics to TABB (estimated from largest to smallest volume: Credit Suisse Crossfinder, Morgan Stanley -MS Pool (ATS-4), Merrill Lynch Instinct X, J.P. Morgan -JPM-X, National Financial -CrossStream/BLOX, Interactive Brokers -IBKR, Credit Suisse Light Pool, Morgan Stanley -MS Trajectory Cross (ATS-1), State Street -BlockCross, Dealerweb, Bloomberg Tradebook , Merrill Lynch VWAP Cross, Aqua, Morgan Stanley -MS Retail Pool (ATS-6), Jefferies Execution Services, FOLIOfn Investments and CurianClearing do not report their data to Tabb for the ELM.
