TABB Equity Digest: Q1-2016

The average daily volume in Q1-2016 was 8.6 billion shares, the highest ADV in 5 years. During the same period, industry average trade size rebounded from an all-time low of 202 shares in Jan-2016 to 217 shares in Mar-2016. The VIX average close decreased from a high of 23.7 in Jan-2016 to 14.3 in Apr-2016. As volatility declined, off-exchange volume increased to a two-year high of 37.4% in Apr-2016.

In Q1-2016, the industry volume consisted of 57.5% Lit Volume (+1.3% YoY) and 42.5% Dark Volume. “Dark Volume” consists of Retail Wholesalers, Dark ATSs, Hidden Exchange and Single-Dealer Platforms (SDP)/Other. The Dark Volume breakdown in Q1-2016 was 38.6% Retail Wholesaler, 31.2% Dark ATSs, 19.9% Hidden Exchange and 10.3% SDP/Other. The YoY gain in Lit Volume was attributed to Lit ATSs (+1.4%).

In Q1-2016, US equity volume consisted of 53.3% Tape A (+0.4% YoY), 21.9% Tape B (+2.4% YoY) and 24.8% Tape C (-2.7% YoY). The Tape B percentage of equity market was at an all-time high and Tape C percentage was the lowest in nearly six years, since Q2-2010.

Though Tape B percentage of equity volume was at a record high in Q1-2016, NASDAQ’s Tape B market share hit an all-time low of 9.5% (-2.0% YoY), while BATS EDGX and BYX gained 2.8% collectively YoY. NASDAQ’s decrease in Tape B contributed to its 1.9% decrease in overall industry market share year-to-date. Consequently, NYSE was .1% away from becoming the single largest liquidity pool in Apr-2016.

Citadel’s Retail Wholesaler market share increased 4.7% YoY in Q1-2016, to 33%, after reaching an all-time high in Mar-2016. G1X also reached its all-time high of 14.4% market share in Mar-2016, surpassing UBS as the #3 Retail Wholesaler. Even as concentration in Retail Wholesalers increases, Retail Wholesaler execution quality is at an all-time high. Over the past 15 years, the Effective/Quoted Spread (E/Q) has been cut in half from 97% to 39% and execution time has decreased from 9.0 to 0.1 seconds.

Within the 25 exhibits of the report, we combine data from the SEC market structure website, SEC Rule 605 (order execution) and Rule 606 (order routing) disclosures, FINRA Rule 4552, self-reported Single-Dealer Platforms, exchange 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 in arrear to capture the FINRA and SEC publications.