US Equity Market Structure: Q2-2014 TABB Equity Digest

In Q2-2014, US equity volume dropped approximately 12.9% from 6.95 to 6.05 billion shares per day. The average close for the VIX in June 2014 was 11.5, down from 12.5 in May 2014 and the lowest monthly average since February 2007. Volatility is inversely related to dark volume. In the second quarter, exchange hidden volume increased from 13.1% to 14.3% of exchange volume and from 8.3% to 9.0% of US equity volume.

Exchanges gained market share in their primary listings, NYSE (+1.7% to 22.3%) and NASDAQ (+1.1% to 26.6%) in Tape A and Tape C respectively. During this period, order type concentration for NYSE Arca (top 10 order types account for 80% of volume) and DMM participation rate (10.5% of NYSE, 2.3% of Tape A, 1.2% of industry) at NYSE remained constant. Meanwhile, off-exchange in Q2-2014, order routing and wholesaler competition was at an all-time high with 6 out of the top 8 retail wholesalers changing rankings.

Within the 18 exhibits of the report, we combine data from the SEC market structure website, SEC Rule 605 (order execution) and 606 (order routing) disclosures, self-reported dark pool and order type information, and the SIP to bring you a comprehensive breakdown of US equity volume. We drill down to report retail wholesaler, hidden exchange and tape market share. The timing of each publication is a month in arrear to capture the 605 and 606 statistics for the quarter.